Wild bootstrap tests for autocorrelation in vector autoregressive models
Niklas Ahlgren () and
Additional contact information
Niklas Ahlgren: Hanken School of Economics
Statistical Papers, 2017, vol. 58, issue 4, 1189-1216
Abstract Tests for error autocorrelation (AC) are derived under the assumption of independent and identically distributed errors. The tests are not asymptotically valid if the errors are conditionally heteroskedastic. In this article we propose wild bootstrap (WB) Lagrange multiplier tests for error AC in vector autoregressive (VAR) models. We show that the WB tests are asymptotically valid under conditional heteroskedasticity of unknown form. WB tests based on a version of the heteroskedasticity-consistent covariance matrix estimator are found to have the smallest error in rejection probability under the null and high power under the alternative. We apply the tests to VAR models for credit default swap prices and Euribor interest rates. An important result that we find is that the WB tests lead to parsimonious models while the asymptotic tests suggest that a long lag length is required to get white noise residuals.
Keywords: Autocorrelation; Conditional heteroskedasticity; Heteroskedasticity-consistent covariance matrix estimator; Lagrange multiplier test; Vector autoregressive model; Wild bootstrap; 62F40; 62M10; 62P20; 91G70 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s00362-016-0744-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0
Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362
Access Statistics for this article
Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller
More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla ().