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PORTMANTEAU AUTOCORRELATION TESTS UNDER Q ‐DEPENDENCE AND HETEROSKEDASTICITY
Author(s) -
Harris David,
Kew Hsein
Publication year - 2014
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12059
Subject(s) - heteroscedasticity , autocorrelation , mathematics , estimator , econometrics , statistics , nonparametric statistics , series (stratigraphy) , paleontology , biology
We propose extensions of the Box–Pierce ([Box GE, 1970]) 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 tests have good size and superior power properties over the unweighted tests.