Testing for Autocorrelation Using a Modified Box-Pierce Q Test

Ignacio Lobato, John C Nankervis and N E Savin

International Economic Review, 2001, vol. 42, issue 1, 187-205

Abstract: 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.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:ier:iecrev:v:42:y:2001:i:1:p:187-205

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