Testing for Autocorrelation Using a Modified Box-Pierce Q Test

By Ignacio N. Lobato, John C. Nankervis, Nathan Eugene Savin. 2001

114 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/78f2815777ff73c48302a4964885bb74541cb5e5

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Citations in the corpus

Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness (2006, methodology): “This section reports the empirical P-values of tests of H5 for the example in Lobato et al. (2001).”
Testing That a Dependent Process Is Uncorrelated (2001, methodology): “In fact, the Monte Carlo results of Lobato et al. (2001a) and Lobato, Nankervis, and Savin (2001b) show that the conventional QK test tends to reject the null too often.”
Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005, background): “Lobato, Nankervis, and Savin (2001, 2002) addressed the problem of testing the null hypothesis that a time series is uncorrelated up to some fixed order K and proposed an extension of the BP statistic.”
Testing the Martingale Difference Hypothesis (2003, methodology): “These cases were employed in Lobato, Nankervis, and Savin (2001) to compare the finite sample properties of the Box–Pierce Q statistic and Q , a modified Q statistic.”
A New Test of the Martingale Difference Hypothesis (2004, methodology): “The modified Q test (Lobato, Nankervis, and Savin, 2001) and the modified Durlauf’s test (Deo, 2000), although robust to conditional heteroskedasticity, have the same problem.”
A bootstrap-assisted spectral test of white noise under unknown dependence (2011, methodology): “The models M2 and M3 have been used in Lobato et al. (2001) in the examination of the finite sample performance of a modified Box–Pierce test.”
Integer-valued moving average modelling of the number of transactions in stocks (2010, background): “McKenzie (1988), Joe (1996), Jørgensen and Song (1998) and others stress exact distributional results for yt, while we emphasize only the first two conditional and unconditional moments of the model. One reason for our choice will become apparent below when we discuss and introduce more flexible con”
Customer Satisfaction, Cash Flow, and Shareholder Value (2005, methodology): “…variables in our data set (e.g., lagged terms), autocorrelation is not a significant problem based on the traditional Durbin Watson test and the more robust modified Box-Pierce Q statistic (Lobato, Nankervis, and Savin 2001). ability) and earnings on future cash flow (future cash flow variability).”
Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2011, unknown): “When Yt has conditional heteroscedasticity, Lobato et al. (2001) propose the robustified statistic of the form Q∗p = T p∑ i=1 ρ̃2(i), (2) where ρ̃(i) = γ̂2(i)/τ̂(i), γ̂(i) is the sample autocovariance of Yt, and τ̂(i) is the sample autocovariance of Y 2t .”