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Testing For Zero Autocorrelation In The Presence Of Statistical Dependence

Citations

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Cited by:

  1. Mengya Liu & Fukan Zhu & Ke Zhu, 2020. "Multi-frequency-band tests for white noise under heteroskedasticity," Papers 2004.09161, arXiv.org.
  2. Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323, August.
  3. repec:ebl:ecbull:v:3:y:2004:i:46:p:1-9 is not listed on IDEAS
  4. Shao, Xiaofeng, 2011. "A bootstrap-assisted spectral test of white noise under unknown dependence," Journal of Econometrics, Elsevier, vol. 162(2), pages 213-224, June.
  5. Neil Kellard & Denise Osborn & Jerry Coakley & Nathan E. (Gene) Savin, 2015. "Papers with John," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 663-671, September.
  6. Jen-Je Su, 2005. "On the size and power of testing for no autocorrelation under weak assumptions," Applied Financial Economics, Taylor & Francis Journals, vol. 15(4), pages 247-257.
  7. Li, Linyuan & Duchesne, Pierre & Liou, Chu Pheuil, 2021. "On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods," Econometrics and Statistics, Elsevier, vol. 19(C), pages 169-187.
  8. Giraitis, Liudas & Li, Yufei & Phillips, Peter C.B., 2024. "Reprint of: Robust inference on correlation under general heterogeneity," Journal of Econometrics, Elsevier, vol. 244(2).
  9. Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
  10. Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
  11. Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
  12. Adrian Wai‐Kong Cheung & Jen‐Je Su & Astrophel Kim Choo, 2012. "Are exchange rates serially correlated? New evidence from the Euro FX markets," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 14-20, January.
  13. Chortareas, Georgios & Jiang, Ying & Nankervis, John C., 2011. "The random-walk behavior of the Euro exchange rate," Finance Research Letters, Elsevier, vol. 8(3), pages 158-162, September.
  14. Dalla, Violetta & Giraitis, Liudas & Phillips, Peter C. B., 2022. "Robust Tests For White Noise And Cross-Correlation," Econometric Theory, Cambridge University Press, vol. 38(5), pages 913-941, October.
  15. Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
  16. Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo, 2011. "Are Euro exchange rates markets efficient? New evidence from a large panel," Discussion Papers in Finance finance:201109, Griffith University, Department of Accounting, Finance and Economics.
  17. David Harris & Hsein Kew, 2014. "Portmanteau Autocorrelation Tests Under Q-Dependence And Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 203-217, May.
  18. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2022. "Data-driven portmanteau tests for time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 675-698, September.
  19. Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025. "Simultaneous Inference Bands for Autocorrelations," Papers 2503.18560, arXiv.org, revised Aug 2025.
  20. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  21. Hill, Jonathan B. & Motegi, Kaiji, 2019. "Testing the white noise hypothesis of stock returns," Economic Modelling, Elsevier, vol. 76(C), pages 231-242.
  22. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.
  23. Xuexin Wang & Yixiao Sun, 2020. "An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 536-550, July.
  24. Zhang, Jingsi & Jiang, Wenxin & Shao, Xiaofeng, 2013. "Bayesian model selection based on parameter estimates from subsamples," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 979-986.
  25. Pedro H. C. Sant’Anna, 2017. "Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 349-358, July.
  26. Xiaofeng Shao, 2010. "Corrigendum: A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(5), pages 695-696, November.
  27. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
  28. Li, Muyi & Zhang, Yanfen, 2022. "Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors," Computational Statistics & Data Analysis, Elsevier, vol. 165(C).
  29. repec:cam:camjip:2226 is not listed on IDEAS
  30. Joseph P. Romano & Marius A. Tirlea, 2022. "Permutation testing for dependence in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 781-807, September.
  31. Xuexin WANG, 2021. "Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses," Working Papers 2021-11-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  32. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
  33. Sun, Jiajing & Zhu, Meiting & Linton, Oliver, 2025. "Adjusted-range-based self-normalized autocorrelation tests," Economics Letters, Elsevier, vol. 251(C).
  34. Todea, Alexandru & Zoicas Ienciu, Adrian, 2011. "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 175-192, March.
  35. John C. Nankervis & Nathan E. Savin, 2012. "Testing for uncorrelated errors in ARMA models: non‐standard Andrews‐Ploberger tests," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 516-534, October.
  36. Zacharias Psaradakis & Marián Vávra, 2019. "Portmanteau tests for linearity of stationary time series," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
  37. Carlos Velasco & Xuexin Wang, 2015. "A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 39-60, January.
  38. Yawen Fan & Xiaohui Liu & Yang Cao & Shaochu Liu, 2024. "Jackknife empirical likelihood based diagnostic checking for Ar(p) models," Computational Statistics, Springer, vol. 39(5), pages 2479-2509, July.
  39. Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.
  40. Roy, Archi & Soni, Anchal & Deb, Soudeep, 2023. "A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets," Energy Economics, Elsevier, vol. 124(C).
  41. Alessandra Amendola & Christian Francq, 2009. "Concepts of and tools for Nonlinear Time-Series Modelling," Post-Print hal-05417886, HAL.
  42. Neil Kellard & Denise Osborn & Jerry Coakley & John C. Nankervis & Periklis Kougoulis & Jerry Coakley, 2015. "Generalized Variance-Ratio Tests in the Presence of Statistical Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 687-705, September.
  43. 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.
  44. Giraitis, Liudas & Li, Yufei & Phillips, Peter C.B., 2024. "Robust inference on correlation under general heterogeneity," Journal of Econometrics, Elsevier, vol. 240(1).
  45. Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January.
  46. Delgado, Miguel A. & Velasco, Carlos, 2010. "A distribution-free transform of the residuals sample autocorrelations with application to model checking," UC3M Working papers. Economics we101707, Universidad Carlos III de Madrid. Departamento de Economía.
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