Testing serial correlation in a general d -factor model with possible infinite variance

Abstract

Serial Correlation in a General d-factor Model with Possible Infinite Variance, is referred to as Fanetal22. All of the notations used below are consistent with those introduced in Fanetal22. In the sequel, we use α 0 and β 0 to stand for the true values of α and β, respectively.The following technical lemmas are presented before proceeding forward.Lemma 1. Under the same conditions as Theorem 1, we have that