An Automatic Portmanteau Test For Nonlinear Dependence

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2022 Denmark English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Charisios Grivas;

doi: 10.2139/ssrn.4212810 , 10.1016/j.ecosta.2022.12.003

An Automatic Portmanteau Test For Nonlinear Dependence

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Abstract

A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls the type I error without being sensitive with respect to the number of autocorrelations used. In addition, the automatic test is found to have higher power in simulations when compared to the standard portmanteau test, for both raw data and residuals.

Country

Denmark

Related Organizations

Aalborg University
Denmark
Birkbeck, University of London
United Kingdom

Keywords

Akaike's AIC, ARMA time series, Data-driven test, Portmanteau test, Schwarz's BIC

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