Adaptive Rate-Optimal Detection of Small Autocorrelation Coefficients
AbstractA 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.
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Bibliographic InfoPaper provided by CIRPEE in its series Cahiers de recherche with number 0925.
Date of creation: 2009
Date of revision:
Absence of serial correlation; data-driven nonparametric test; adaptive rate-optimality; small alternatives; time series;
Other versions of this item:
- Alain Guay & Emmanuel Guerre & Štěpána Lazarová, 2009. "Adaptive Rate-optimal Detection of Small Autocorrelation Coefficients," Working Papers 645, Queen Mary, University of London, School of Economics and Finance.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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