Journal article

PORTMANTEAU AUTOCORRELATION TESTS UNDER Q-DEPENDENCE AND HETEROSKEDASTICITY

David Harris, Hsein Kew

JOURNAL OF TIME SERIES ANALYSIS | WILEY-BLACKWELL | Published : 2014

Abstract

We propose extensions of the Box-Pierce portmanteau autocorrelation test to allow for two generalizations: (i) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a fixed lag q. These extensions involve a generalized quadratic form of the Box-Pierce test that uses the heteroskedasticity autocorrelation consistent-type estimator. While we show that this modified test is robust to unconditional heteroskedasticity, the resulting power loss may be substantial. We therefore develop feasible weighted tests that make use of nonparametric estimates of the unobserved variance process. Simulation experiments show that the weighted t..

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University of Melbourne Researchers

Grants

Awarded by Australian Research Council


Funding Acknowledgements

We thank the editor and two anonymous referees for helpful suggestions that have considerably improved the content of this article. This research is supported by the Australian Research Council Discovery grant DP1094010.