Journal article
Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness
Journal of econometrics, Vol.133(2), pp.841-862
08/01/2006
DOI: 10.1016/j.jeconom.2005.06.014
Abstract
This paper describes a test of the null hypothesis that the first K autocorrelations of a covariance stationary time series are zero in the presence of statistical dependence. The test is based on the Box-Pierce Q statistic with bootstrap-based P-values. The bootstrap is implemented using a double blocks-of-blocks procedure with prewhitening. The finite sample performance of the bootstrap Q test is investigated by simulation. In our experiments, the performance is satisfactory for samples of n = 500. At this sample size, the differences between the empirical and nominal rejection probabilities are essentially eliminated. © 2005 Elsevier B.V. All rights reserved.
Details
- Title: Subtitle
- Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness
- Creators
- Joel L. Horowitz - Northwestern UniversityI. N. Lobato - Instituto Tecnológico Autónomo de MéxicoJohn C. Nankervis - University of EssexN. E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of econometrics, Vol.133(2), pp.841-862
- DOI
- 10.1016/j.jeconom.2005.06.014
- ISSN
- 0304-4076
- eISSN
- 1872-6895
- Number of pages
- 22
- Grant note
- 41893-S / Consejo Nacional de Ciencia y Tecnología (http://data.elsevier.com/vocabulary/SciValFunders/501100003141) SES-9910925 / National Science Foundation (http://data.elsevier.com/vocabulary/SciValFunders/100000001) R000222581 / Economic and Social Research Council (http://data.elsevier.com/vocabulary/SciValFunders/501100000269)
- Language
- English
- Date published
- 08/01/2006
- Academic Unit
- Economics
- Record Identifier
- 9984963210102771
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