Testing for serial correlation: generalized Andrews-Ploberger tests

DOI10.1198/JBES.2009.08115MaRDI QIDQ3160945zbMATH OpenOpenAlexFDO

Authors John C. Nankervis, N. E. Savin

Publication date 11 October 2010

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jbes.2009.08115

zbMATH Keywords

autoregressive moving average modelsLagrange multiplier testnonstandard testingstatistically dependent time seriesuncorrelatedness

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cited in

(17)

• Testing for serial correlation in the presence of stochastic volatility
• An automatic portmanteau test for serial correlation
• Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
• A quasi-locally most powerful test for correlation in the conditional variance of positive data
• Correlation testing in time series, spatial and cross-sectional data
• Papers with John
• Testing for Serial Correlation Against an ARMA(1, 1,) Process
• Testing for serial correlation in the presence of dynamic heteroscedasticity
• Testing That a Dependent Process Is Uncorrelated
• Consistent Testing for Serial Correlation of Unknown Form
• Generalized C() tests for estimating functions with serial dependence
• Testing for uncorrelated errors in ARMA models: non-standard Andrews-Ploberger tests
• A max-correlation white noise test for weakly dependent time series
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• Directional predictability tests
• Generalized runs tests for the IID hypothesis
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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Uses Software

• RANLUX

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