TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE

By Ignacio N. Lobato, John C. Nankervis, Nathan Eugene Savin. Econometric Theory, 2002

103 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c8fb65c32cd003a32600e2f94b349148b396d02d

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Citations in the corpus

White Noise Testing and Model Diagnostic Checking for Functional Time Series (2016, methodology): “…some commonly used test statistics, such as Box and Pierce’s portmanteau test, are obtained under the i.i.d assumption, and they are no longer valid under the assumption of dependent white noise (Romano and Thombs, 1996; Lobato et al., 2002; Francq et al., 2005; Horowitz et al., 2006; Shao, 2011b).”
Testing the Martingale Difference Hypothesis (2003, background): “However, there are many examples of uncorrelated processes which are not MDS, such as some bilinear processes, some nonlinear moving average processes or the so called all pass models, see [Lobato, Nankervis, and Savin (2002)] .”
Multi-scale tests for serial correlation (2015, background): “There is a long streak of papers that address these limitations, starting from the small sample improvements of Ljung and Box (1978), to the more recent robustification program of Lobato (2001) and Lobato et al. (2002).”
A self‐normalized approach to confidence interval construction in time series (2010, methodology): “We first investigate the size of T̃ K and compare it with TKs of Lobato (2001) and Q̃Ks of Lobato et al. (2002) at K =1, 3, 5.”
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.”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “In contrast, despite numerous methodological refinements to existing serial correlation tests (see, for example, Lobato et al., 2002; Horowitz et al., 2006) and spectral-based tests (see, for example, Durlauf, 1991; Deo, 2000), we do not find any applications of these improved statistical tools on…”
Testing That a Dependent Process Is Uncorrelated (2001, methodology): “Table 2 also reports the empirical RP’s for e Q 1 , the vector autoregressive heteroskedasticity and autocorrelation consistent (VARHAC) version of the e Q1 test in Lobato et al. (2001a). The e Q 1 test estimates the spectral density at zero frequency of 4yt ƒ Œ54ytC1 ƒ Œ5 by tting an autoregressi”
A SIMPLE TEST OF NORMALITY FOR TIME SERIES (2004, background): “…pretest problem in such a sequential procedure and, furthermore, testing for uncorrelatedness for non-Gaussian series is rather challenging~see Lobato, Nankervis, and Savin, 2002!+ Looking at ~4! two natural solutions appear+ The first one consists of modifying theSK test statistic by…”
TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS (2010, methodology): “The property (3) indicates that the process {un} forgets its past exponentially fast, and it can be verified for many nonlinear time series models, such as the threshold model, the bilinear model, and various forms of GARCH models; see Wu and Min (2005) and Shao and Wu (2007). Besides conditional he”