Robust adaptive rate-optimal testing for the white noise hypothesis

被引：8

作者：

Guay, Alain ^{[1
]}

Guerre, Emmanuel ^{[2
]}

Lazarova, Stepana ^{[2
]}

机构：

[1] Univ Quebec, Montreal, PQ H3C 3P8, Canada

[2] Univ London, Sch Econ & Finance, London E1 4NS, England

来源：

JOURNAL OF ECONOMETRICS | 2013年 / 176卷 / 02期

关键词：

Weak white noise hypothesis; HAC inference; Automatic nonparametric tests; Adaptive rate-optimality; SPECTRAL DENSITY-ESTIMATION; OF-FIT TESTS; TIME-SERIES; CONSISTENT ESTIMATION; DIAGNOSTIC CHECKING; INFORMATION; MODELS;

D O I：

10.1016/j.jeconom.2013.05.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box-Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007) are used, allowing for estimation of the error term. The data-driven order selection is tailored to detect a new class of alternatives with autocorrelation coefficients which can be o(n(-1/2)) provided there are sufficiently many of such coefficients. A simulation experiment illustrates the good statistical properties of the test both under the weak white noise null and the alternative. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：134 / 145

页数：12

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