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Wild bootstrap Ljung–Box test for cross correlations of multivariate time series

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  • Lee, Taewook

Abstract

In the literature, the conventional Ljung–Box test for financial time series with ARCH effect (also known as conditional heteroscedasticity) is well-known to suffer from severe size distortions. The objective of this paper is to develop a wild bootstrap-based Ljung–Box test for cross correlations in mean of multivariate time series. According to our simulation study, the wild bootstrap-based Ljung–Box test succeeds to achieve correct sizes and comparable powers in the presence of ARCH effect.

Suggested Citation

  • Lee, Taewook, 2016. "Wild bootstrap Ljung–Box test for cross correlations of multivariate time series," Economics Letters, Elsevier, vol. 147(C), pages 59-62.
    • Handle: RePEc:eee:ecolet:v:147:y:2016:i:c:p:59-62
    DOI: 10.1016/j.econlet.2016.08.015
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    References listed on IDEAS

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    1. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
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    3. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.
    4. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
    5. Hatemi-J, Abdulnasser, 2004. "Multivariate tests for autocorrelation in the stable and unstable VAR models," Economic Modelling, Elsevier, vol. 21(4), pages 661-683, July.
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    Cited by:

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    3. Ke, Rui & Jia, Jing & Tan, Changchun, 2021. "A residual-based test for multivariate GARCH models using transformed quadratic residuals," Economics Letters, Elsevier, vol. 206(C).

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    More about this item

    Keywords

    CCC-GARCH; Cross correlation; Ljung–Box test; Multivariate time series; VAR; Wild bootstrap;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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