An Automatic Portmanteau Test For Nonlinear Dependence

Charisios Grivas

doi:10.2139/ssrn.4212810

An Automatic Portmanteau Test For Nonlinear Dependence

Charisios Grivas^*

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › Research › peer-review

Abstract

A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls the type I error without being sensitive with respect to the number of autocorrelations used. In addition, the automatic test is found to have higher power in simulations when compared to the standard portmanteau test, for both raw data and residuals.

Original language	English
Journal	Econometrics and Statistics
ISSN	2452-3062
DOIs	https://doi.org/10.2139/ssrn.4212810 https://doi.org/10.1016/j.ecosta.2022.12.003
Publication status	E-pub ahead of print - 2023
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2023 The Author(s)

Keywords

Akaike's AIC
ARMA time series
Data-driven test
Portmanteau test
Schwarz's BIC

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title = "An Automatic Portmanteau Test For Nonlinear Dependence",

abstract = "A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls the type I error without being sensitive with respect to the number of autocorrelations used. In addition, the automatic test is found to have higher power in simulations when compared to the standard portmanteau test, for both raw data and residuals.",

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AB - A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls the type I error without being sensitive with respect to the number of autocorrelations used. In addition, the automatic test is found to have higher power in simulations when compared to the standard portmanteau test, for both raw data and residuals.

KW - Akaike's AIC

KW - ARMA time series

KW - Data-driven test

KW - Portmanteau test

KW - Schwarz's BIC

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ER -

An Automatic Portmanteau Test For Nonlinear Dependence

Abstract

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Keywords

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