Show simple item record

dc.contributor.authorGuay, A
dc.contributor.authorGuerre, E
dc.contributor.authorLazarová, Š
dc.date.accessioned2016-10-10T11:06:54Z
dc.date.issued2013-05-11
dc.date.issued2013-06-10
dc.date.issued2013-06-10
dc.date.submitted2016-08-21T12:03:07.551Z
dc.identifier.issn0304-4076
dc.identifier.other10.1016/j.jeconom.2013.05.001
dc.identifier.urihttp://qmro.qmul.ac.uk/xmlui/handle/123456789/15807
dc.description.abstractA new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic choice of the order for a Box-Pierce or Hong test statistic. The test uses Lobato (2001) or Kuan and Lee (2006) HAC critical values. The data-driven order choice is tailored to detect a new class of alternatives with autocorrelation coefficients which can be $o(n^{-1/2})$ provided there are enough of them. A simulation experiment illustrates the good behavior of the test both under the weak white noise null and the alternative.
dc.format.extent134 - 145 (11)
dc.languageEnglish
dc.language.isoenen_US
dc.publisherElsevier/Science Direct
dc.relation.ispartofJournal of Econometrics
dc.rightsAll rights reserved
dc.subjectWeak white noise hypothesis
dc.subjectHAC inference
dc.subjectAutomatic nonparametric tests
dc.subjectAdaptive rate-optimality
dc.titleRobust adaptive rate-optimal testing for the white noise hypothesis
dc.typeJournal Article
dc.rights.holder© 2013 Elsevier B.V.
dc.identifier.doi10.1016/j.jeconom.2013.05.001
dc.relation.isPartOfJournal of Econometrics
dc.relation.isPartOfJournal of Econometrics
pubs.issue2
pubs.organisational-group/Queen Mary University of London
pubs.organisational-group/Queen Mary University of London/Faculty of Humanities, Social Sciences & Law
pubs.organisational-group/Queen Mary University of London/Faculty of Humanities, Social Sciences & Law/Economics and Finance - Staff
pubs.publication-statusPublished
pubs.publisher-urlhttp://www.sciencedirect.com/science/article/pii/S0304407613001152
pubs.volume176


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Return to top