In this paper, we, thus present a very simple and elegant method in time domain for computing auto-correlation and cross-correlation of the output process which is usually obtained after processing the input WSS process through the windows.
The idea that a few equations can have tlie power to replicate means, volatilities, relative volatilities, auto-correlations, and cross-correlations observed in time series of real macroeconomic data is highly appealing and has motivated a significant number of authors since the seminal contributions of Kydland and Prescott (1982) and Long and Plosser (1983).
The spatial relevance testing has proved that 11 prefecture-cities in Jianxi Province have significant auto-correlation in the new urbanization inclusive's development, and there is a significant aggregating phenomenon in terms of the spatial distribution.
Contrary to efficient market hypothesis, observations have been made that financial market returns have positive auto-correlation in short term and negative auto-correlation in the long-run (Poterba & Summers, 1988).
Therefore, estimating and removing an auto-correlation coefficient from sample data prior to applying the MK test (a procedure called pre-whitening; PW) effectively removes the influence of this component on the occurrence of type I errors (BLAIN, 2012b; VON STORCH; NAVARRA, 1995; YUE et al.