Advanced Search
MyIDEAS: Login

Adaptive Rate-Optimal Detection of Small Autocorrelation Coefficients

Contents:

Author Info

  • Alain Guay
  • Emmanuel Guerre
  • Stepana Lazarova
Registered author(s):

    Abstract

    A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of alternatives. The test can detect alternatives with many small correlation coefficients that can go to zero with an optimal adaptive rate which is faster than the parametric rate. The adaptive rate-optimality against smooth alternatives of the new test is established as well. The test can also detect ARMA and local Pitman alternatives converging to the null with a rate close or equal to the parametric one. A simulation experiment and an application to monthly financial square returns illustrate the usefulness of the proposed approach.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.cirpee.org/fileadmin/documents/Cahiers_2009/CIRPEE09-25.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by CIRPEE in its series Cahiers de recherche with number 0925.

    as in new window
    Length:
    Date of creation: 2009
    Date of revision:
    Handle: RePEc:lvl:lacicr:0925

    Contact details of provider:
    Postal: CP 8888, succursale Centre-Ville, Montréal, QC H3C 3P8
    Phone: (514) 987-8161
    Web page: http://www.cirpee.org/
    More information through EDIRC

    Related research

    Keywords: Absence of serial correlation; data-driven nonparametric test; adaptive rate-optimality; small alternatives; time series;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:lvl:lacicr:0925. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Johanne Perron).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.