An Automatic Portmanteau Test For Nonlinear Dependence

Charisios Grivas

Econometrics and Statistics, 2025, vol. 35, issue C, 71-83

Abstract: A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls the type I error without being sensitive with respect to the number of autocorrelations used. In addition, the automatic test is found to have higher power in simulations when compared to the standard portmanteau test, for both raw data and residuals.

Keywords: ARMA time series; Akaike’s AIC; Schwarz’s BIC; Portmanteau test; Data-driven test (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:35:y:2025:i:c:p:71-83

DOI: 10.1016/j.ecosta.2022.12.003

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