Portmanteau Autocorrelation Tests under q-Dependence and Heteroskedasticity

44 Pages Posted: 6 Jul 2013 Last revised: 6 Nov 2013

See all articles by David Harris

David Harris

University of Melbourne - Department of Economics

Hsein Kew

Monash University - Department of Econometrics & Business Statistics

Date Written: November 6, 2013

Abstract

We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (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 generalised quadratic form of the Box-Pierce test that uses the heteroskedasticity autocorrelation consistent (HAC)-type estimator. While we show 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.

Keywords: Box-Pierce tests, heteroskedasticity, q-dependence

JEL Classification: C12, C22

Suggested Citation

Harris, David and Kew, Hsein, Portmanteau Autocorrelation Tests under q-Dependence and Heteroskedasticity (November 6, 2013). Available at SSRN: https://ssrn.com/abstract=2290487 or http://dx.doi.org/10.2139/ssrn.2290487

David Harris (Contact Author)

University of Melbourne - Department of Economics ( email )

Melbourne, 3010
Australia

Hsein Kew

Monash University - Department of Econometrics & Business Statistics ( email )

26 Sir John Monash Drive
Caulfield East, 3145, Victoria
Australia

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