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Testing for Autocorrelation Using a Modified Box‐Pierce Q Test
Author(s) -
Lobato Ignacio,
Nankervis John C.,
Savin N. E.
Publication year - 2001
Publication title -
international economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.658
H-Index - 86
eISSN - 1468-2354
pISSN - 0020-6598
DOI - 10.1111/1468-2354.00106
Subject(s) - autocorrelation , mathematics , autoregressive conditional heteroskedasticity , statistic , uncorrelated , test statistic , statistics , series (stratigraphy) , volatility (finance) , statistical hypothesis testing , null hypothesis , econometrics , paleontology , biology
This article investigates the finite‐sample performance of a modified Box‐Pierce Q statistic ( Q *) for testing that financial time series are uncorrelated without assuming statistical independence. The finite‐sample rejection probabilities of the Q * test under the null and its power are examined in experiments using time series generated by an MA (1) process where the errors are generated by a GARCH (1, 1) model and by a long memory stochastic volatility model. The tests are applied to daily currency returns.