IDEAS home Printed from https://ideas.repec.org/r/ecm/emetrp/v64y1996i4p837-64.html
   My bibliography  Save this item

Consistent Testing for Serial Correlation of Unknown Form

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
  2. Mengya Liu & Fukan Zhu & Ke Zhu, 2020. "Multi-frequency-band tests for white noise under heteroskedasticity," Papers 2004.09161, arXiv.org.
  3. repec:wyi:journl:002087 is not listed on IDEAS
  4. Yu-Pin Hu & Ruey S. Tsay, 2014. "Principal Volatility Component Analysis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 153-164, April.
  5. Delgado, Miguel A. & Hidalgo, Javier & Velasco, Carlos, 2005. "Distribution free goodness-of-fit tests for linear processes," LSE Research Online Documents on Economics 6840, London School of Economics and Political Science, LSE Library.
  6. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
  7. Ke Zhu, 2016. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 463-485, March.
  8. Hidalgo, Javier & Seo, Myung Hwan, 2013. "Specification for lattice processes," LSE Research Online Documents on Economics 58191, London School of Economics and Political Science, LSE Library.
  9. Yushu Li & Fredrik N. G. Andersson, 2021. "A simple wavelet-based test for serial correlation in panel data models," Empirical Economics, Springer, vol. 60(5), pages 2351-2363, May.
  10. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
  11. William A. Barnett & Melvin J. Hinich & Piyu Yue, 2011. "The Exact Theoretical Rational Expectations Monetary Aggregate," World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 2, pages 53-84, World Scientific Publishing Co. Pte. Ltd..
  12. Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012. "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2216-2232.
  13. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
  14. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
  15. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
  16. 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.
  17. Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
  18. Yang, Xiye, 2020. "Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests," Journal of Econometrics, Elsevier, vol. 215(2), pages 486-516.
  19. Hidalgo, Javier, 2009. "Goodness of fit for lattice processes," Journal of Econometrics, Elsevier, vol. 151(2), pages 113-128, August.
  20. Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
  21. 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.
  22. Li, Linyuan & Yao, Shan & Duchesne, Pierre, 2014. "On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 308-327.
  23. Kuan Chung-Ming & Lee Wei-Ming, 2004. "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
  24. 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.
  25. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  26. Pierre Duchesne, 2005. "Robust and powerful serial correlation tests with new robust estimates in ARX models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 49-81, January.
  27. Axel Bücher & Holger Dette & Florian Heinrichs, 2023. "A portmanteau-type test for detecting serial correlation in locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 255-278, July.
  28. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
  29. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
  30. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  31. Chafik Bouhaddioui & Roch Roy, 2004. "A Generalized Portmanteau Test for Independence of Two Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2004s-06, CIRANO.
  32. 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.
  33. Zhu, Ke & Li, Wai Keung, 2015. "A bootstrapped spectral test for adequacy in weak ARMA models," Journal of Econometrics, Elsevier, vol. 187(1), pages 113-130.
  34. Duchesne, Pierre & Roy, Roch, 2004. "On consistent testing for serial correlation of unknown form in vector time series models," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 148-180, April.
  35. 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.
  36. Hong, Yongmiao, 1996. "Testing for independence between two covariance stationary time series," MPRA Paper 108731, University Library of Munich, Germany.
  37. Hill, Jonathan B. & Motegi, Kaiji, 2019. "Testing the white noise hypothesis of stock returns," Economic Modelling, Elsevier, vol. 76(C), pages 231-242.
  38. repec:wyi:journl:002156 is not listed on IDEAS
  39. Manuel A. Dominguez & Ignacio N. Lobato, 2001. "A Consistent Test for the Martingale Difference Hypothesis," Working Papers 0101, Centro de Investigacion Economica, ITAM.
  40. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  41. Pierre Duchesne, 2005. "On the asymptotic distribution of residual autocovariances in VARX models with applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 449-473, December.
  42. 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.
  43. Li, Meiyu & Gençay, Ramazan, 2017. "Tests for serial correlation of unknown form in dynamic least squares regression with wavelets," Economics Letters, Elsevier, vol. 155(C), pages 104-110.
  44. Hidalgo, J. & Kreiss, J.-P., 2006. "Bootstrap specification tests for linear covariance stationary processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 807-839, August.
  45. Min Hwang & John Quigley, 2010. "Housing Price Dynamics in Time and Space: Predictability, Liquidity and Investor Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 3-23, July.
  46. Hidalgo, Javier & Seo, Myung Hwan, 2015. "Specification Tests For Lattice Processes," Econometric Theory, Cambridge University Press, vol. 31(2), pages 294-336, April.
  47. Efstathios Paparoditis, 2005. "Testing the Fit of a Vector Autoregressive Moving Average Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 543-568, July.
  48. Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023. "Testing the martingale difference hypothesis in high dimension," Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
  49. 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.
  50. Chen, Min & Zhu, Ke, 2014. "Sign-based specification tests for martingale difference with conditional heteroscedasity," MPRA Paper 56347, University Library of Munich, Germany.
  51. Proietti, Tommaso & Luati, Alessandra, 2015. "The generalised autocovariance function," Journal of Econometrics, Elsevier, vol. 186(1), pages 245-257.
  52. Rhys M. Bidder & Ian Dew-Becker, 2014. "Long-Run Risk is the Worst-Case Scenario: Ambiguity Aversion and Non-Parametric Estimation of the Endowment Process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
  53. 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).
  54. repec:wyi:journl:002081 is not listed on IDEAS
  55. Yongmiao Hong, 2013. "Serial Correlation and Serial Dependence," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  56. Laura Mayoral, 2007. "Minimum distance estimation of stationary and non-stationary ARFIMA processes," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 124-148, March.
  57. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
  58. Characiejus, Vaidotas & Rice, Gregory, 2020. "A general white noise test based on kernel lag-window estimates of the spectral density operator," Econometrics and Statistics, Elsevier, vol. 13(C), pages 175-196.
  59. Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrews–Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
  60. Giraitis, Liudas & Li, Yufei & Phillips, Peter C.B., 2024. "Robust inference on correlation under general heterogeneity," Journal of Econometrics, Elsevier, vol. 240(1).
  61. repec:bla:jecsur:v:22:y:2008:i:4:p:711-751 is not listed on IDEAS
  62. repec:cep:stiecm:/2013/562 is not listed on IDEAS
  63. Ignacio N. Lobato, 2000. "A Consistent Test for the Martingale Difference Assumption," Econometric Society World Congress 2000 Contributed Papers 0278, Econometric Society.
  64. Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
  65. repec:wyi:journl:002120 is not listed on IDEAS
  66. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
  67. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  68. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
  69. Hongtao Guo & Miranda S. Lam & Guojun Wu & Zhijie Xiao, 2013. "Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 1-15.
  70. Jinfeng Wang & Xuhua Liu & Hongyan Chen, 2011. "Construction of a Cities Evolution Tree, with Applications," ERSA conference papers ersa10p1360, European Regional Science Association.
  71. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," CAEPR Working Papers 2007-019, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  72. repec:wyi:journl:002064 is not listed on IDEAS
  73. Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.
  74. 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).
  75. William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004. "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200403, University of Kansas, Department of Economics, revised May 2004.
  76. Tirngo Dinku & Gardachew Worku, 2022. "Asymmetric GARCH models on price volatility of agricultural commodities," SN Business & Economics, Springer, vol. 2(11), pages 1-17, November.
  77. Colin M. Gallagher & Thomas J. Fisher, 2015. "On Weighted Portmanteau Tests For Time-Series Goodness-Of-Fit," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 67-83, January.
  78. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  79. Daniel Cirkovic & Thomas J. Fisher, 2021. "On testing for the equality of autocovariance in time series," Environmetrics, John Wiley & Sons, Ltd., vol. 32(7), November.
  80. 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.
  81. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
  82. repec:cte:werepe:we101707 is not listed on IDEAS
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.