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Traditional AR order-identification methods rely on an inspection of partial correlograms. The rank-based version of partial correlograms is investigated here. Unlike the rank-based versions of Lagrange multiplier test statistics considered in Hallin and Puri (1994, J. Multivariate Anal. 50, 175-237), rank-based partial autocorrelations unfortunately are not asymptotically distribution-free, and thus...
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