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Testing for Autocorrelation Using a Modified Box-Pierce Q Test

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  • Lobato, Ignacio
  • Nankervis, John C
  • Savin, N E

Abstract

This article investigates the finite-sample performance of a modified Box-Pierce Q statistic (Q*) for testing that financial time series are uncorrelated without assuming statistical independence. The finite-sample rejection probabilities of the Q* test under the null and its power are examined in experiments using time series generated by an MA (1) process where the errors are generated by a GARCH (1, 1) model and by a long memory stochastic volatility model. The tests are applied to daily currency returns.

Suggested Citation

  • Lobato, Ignacio & Nankervis, John C & Savin, N E, 2001. "Testing for Autocorrelation Using a Modified Box-Pierce Q Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 187-205, February.
    • Handle: RePEc:ier:iecrev:v:42:y:2001:i:1:p:187-205
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