Consistent Testing for Serial Correlation of Unknown Form

DOI10.2307/2171847zbMATH Open0960.62559OpenAlexW2058914716MaRDI QIDQ4895049FDOQ4895049

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

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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)

Cited In (78)

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

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