Robust adaptive rate-optimal testing for the white noise hypothesis

Alain Guay, Emmanuel Guerre and Štěpána Lazarová

Journal of Econometrics, 2013, vol. 176, issue 2, 134-145

Abstract: A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007) are used, allowing for estimation of the error term. The data-driven order selection is tailored to detect a new class of alternatives with autocorrelation coefficients which can be o(n−1/2) provided there are sufficiently many of such coefficients. A simulation experiment illustrates the good statistical properties of the test both under the weak white noise null and the alternative.

Keywords: Weak white noise hypothesis; HAC inference; Automatic nonparametric tests; Adaptive rate-optimality (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:176:y:2013:i:2:p:134-145

DOI: 10.1016/j.jeconom.2013.05.001

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