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An automatic Portmanteau test for serial correlation

  • Escanciano, J. Carlos
  • Lobato, Ignacio N.

This article introduces a data-driven Box-Pierce test for serial correlation. The proposed test is very attractive compared to the existing ones. In particular, implementation of this test is extremely simple for two reasons: first, the researcher does not need to specify the order of the autocorrelation tested, since the test automatically chooses this number; second, its asymptotic null distribution is chi-square with one degree of freedom, so there is no need of using a bootstrap procedure to estimate the critical values. In addition, the test is robust to the presence of conditional heteroskedasticity of unknown form. Finally, the proposed test presents higher power in simulations than the existing ones for models commonly employed in empirical finance.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4VW5580-4/2/fb43985bcef95178e43a28369a3a8a19
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 151 (2009)
Issue (Month): 2 (August)
Pages: 140-149

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Handle: RePEc:eee:econom:v:151:y:2009:i:2:p:140-149
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Papers 2003-W11, Economics Group, Nuffield College, University of Oxford.
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  5. R. L. Eubank, 2000. "Testing for No Effect by Cosine Series Methods," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(4), pages 747-763.
  6. Horowitz, Joel L. & Lobato, I.N. & Nankervis, John C. & Savin, N.E., 2006. "Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness," Journal of Econometrics, Elsevier, vol. 133(2), pages 841-862, August.
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  15. Neuhaus, Georg, 1976. "Asymptotic power properties of the Cramér-von Mises test under contiguous alternatives," Journal of Multivariate Analysis, Elsevier, vol. 6(1), pages 95-110, March.
  16. Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
  17. Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
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