Testing for autocorrelation using a modified Box-Pierce {Q} test

DOI10.1111/1468-2354.00106MaRDI QIDQ6863811zbMATH OpenFDO

Authors I. N. Lobato, John C. Nankervis, N. E. Savin

Publication date 4 February 2026

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-2354.00106

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(2)

• Weighted portmanteau statistics for testing for zero autocorrelation in dependent data
• Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses

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