Multi-scale tests for serial correlation

Ramazan Gencay and Daniele Signori

Journal of Econometrics, 2015, vol. 184, issue 1, 62-80

Abstract: This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial correlation in the presence of dependence. Such decomposition can be carried out iteratively, each wavelet filter leading to a rich family of tests whose joint limiting null distribution is a multivariate normal. We illustrate the size and power properties of the proposed tests through Monte Carlo simulations.

Keywords: Serial correlation; Wavelets; Independence; Discrete wavelet transformation; Maximum overlap wavelet transformation; Variance ratio test; Variance decomposition (search for similar items in EconPapers)
JEL-codes: C1 C12 C2 C22 C58 F31 G0 G1 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:184:y:2015:i:1:p:62-80

DOI: 10.1016/j.jeconom.2014.08.002

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