TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE

Ignacio N. Lobato, John C. Nankervis and N.E. Savin

Econometric Theory, 2002, vol. 18, issue 03, pages 730-743

Abstract: The problem addressed in this paper is to test the null hypothesis that a time series process is uncorrelated up to lag K in the presence of statistical dependence. We propose an extension of the Box Pierce Q-test that is asymptotically distributed as chi-square when the null is true for a very general class of dependent processes that includes non-martingale difference sequences. The test is based on a consistent estimator of the asymptotic covariance matrix of the sample autocorrelations under the null. The finite sample performance of this extension is investigated in a Monte Carlo study.

Date: 2002
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