Sum of squared ACF and the Ljung–Box statistics

Hossein Hassani and Mohammad Reza Yeganegi

Physica A: Statistical Mechanics and its Applications, 2019, vol. 520, issue C, 81-86

Abstract: The Ljung–Box test is one of the most important tests for time series diagnostics and model selection. The Hassani’s −12 Theorem, however, indicates that the sum of sample autocorrelation function is always −12 for any stationary time series with arbitrary length. In this paper, Hassani’s −12 Theorem is used to assess the sensitivity of the Ljung–Box test results to the number of lags. Bitcoin price return data is also used to examine the applicability of the theoretical results obtained here. The results confirm sensitivity of the Ljung–Box test to the number of lags involved in the test and therefore it should be used with extra caution.

Keywords: Ergodicity; Linear process; Ljung–box test; Sample autocorrelation function (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437118315413
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:520:y:2019:i:c:p:81-86

DOI: 10.1016/j.physa.2018.12.028

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().