Consistent Testing for Serial Correlation of Unknown Form

DOI10.2307/2171847MaRDI QIDQ4895049zbMATHOpenAlexFDO

Authors Yongmiao Hong

Publication date 17 May 2001

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/34cceba0ee1df216a93f54d5b567971d38b81f26

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• On consistent testing for serial correlation in seasonal time series models
• 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
• Testing for serial correlation: generalized Andrews-Ploberger tests
• Generalized Spectral Tests for Serial Dependence

Cited in

(78)

• Multifrequency-Band Tests for White Noise Under Heteroscedasticity
• Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
• Efficient nonparametric estimation of generalised autocovariances
• On testing for the equality of autocovariance in time series
• Kernel-based portmanteau diagnostic test for ARMA time series models
• Testing for serial correlation: generalized Andrews-Ploberger tests
• Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
• Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
• New testing approaches for mean-variance predictability
• Relative entropy and spectral constraints: some invariance properties of the ARMA class
• Robust inference on correlation under general heterogeneity
• White noise testing for functional time series
• Reprint of: Robust inference on correlation under general heterogeneity
• Bootstrap Tests for High-Dimensional White-Noise
• Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
• On consistent testing for serial correlation in seasonal time series models
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
• Asymptotics for GARCH squared residual correlations
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• An automatic portmanteau test for serial correlation
• Testing for serial correlation of unknown form in cointegrated time series models
• Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
• Multi-scale tests for serial correlation
• On consistent testing for serial correlation of unknown form in vector time series models.
• Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• A portmanteau-type test for detecting serial correlation in locally stationary functional time series
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Evaluating financial time series models for irregularly spaced data: a spectral density approach
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• Testing the martingale difference hypothesis in high dimension
• On the asymptotic distribution of residual autocovariances in VARX models with applications
• The generalised autocovariance function
• HAC estimation and strong linearity testing in weak ARMA models
• 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
• Portmanteau tests based on quadratic forms in the autocorrelations
• A white noise test under weak conditions
• Robust adaptive rate-optimal testing for the white noise hypothesis
• Testing additivity in generalized nonparametric regression models with estimated parameters
• Goodness of fit for lattice processes
• White noise testing and model diagnostic checking for functional time series
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• A simple test for white noise in functional time series
• Testing the Martingale Difference Hypothesis
• Diagnostic test for unstable autoregressive models
• An asymptotic \(F\) test for uncorrelatedness in the presence of time series dependence
• The effect of serial correlation on tests for parameter change at unknown time
• On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
• Distribution free goodness-of-fit tests for linear processes
• ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• An Updated Literature Review of Distance Correlation and Its Applications to Time Series
• Distribution-free specification tests for dynamic linear models
• Testing That a Dependent Process Is Uncorrelated
• The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
• A goodness-of-fit process for ARMA(\(p\),\(q\)) models based on a modified residual autocorrelation sequence
• Generalized Spectral Tests for Serial Dependence
• Testing the martingale difference hypothesis using integrated regression functions
• Statistical inference for autoregressive models under heteroscedasticity of unknown form
• MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
• The variance profile
• A bootstrapped spectral test for adequacy in weak ARMA models
• Data-driven portmanteau tests for time series
• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• A robust test for serial correlation in panel data models
• Bootstrap specification tests for linear covariance stationary processes
• Diagnostic checking for the adequacy of nonlinear time series models
• Specification tests for lattice processes
• On testing for serial correlation of unknown form using wavelet thresholding
• Bootstrap assisted specification tests for the ARFIMA model
• A max-correlation white noise test for weakly dependent time series
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models

This page was built for publication: Consistent Testing for Serial Correlation of Unknown Form

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4895049)