Data-driven portmanteau tests for time series

Roberto Baragona (), Francesco Battaglia () and Domenico Cucina ()
Additional contact information
Roberto Baragona: University La Sapienza
Francesco Battaglia: University La Sapienza
Domenico Cucina: University of Roma Tre

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2022, vol. 31, issue 3, No 5, 675-698

Abstract: Abstract Portmanteau tests and information criteria are widely used for checking the hypothesis of independence in time series. More recently, data-driven versions were proposed, where the tests are calibrated based on the largest estimated autocorrelation. It seems natural to introduce a double test statistic (M, Q) where Q is the portmanteau and M is the largest squared autocorrelation. Both statistics have been investigated at length in the past decades. We computed under reasonable assumptions the bivariate probability distribution of this double statistic, conditional, in addition, to the lag at which the largest autocorrelation is found. Tests of the null hypothesis of independence based on rejection regions in the plane (M, Q) are proposed, and some methods to select the rejection region in order to maximize power when the alternative hypothesis is unknown are suggested. A simulation study and a thorough comparison with some popular tests have been performed to show the advantages of our proposal. Notice that this latter includes some well-known univariate tests, so we could expect not only an optimal choice but also additional information which may turn useful for a better understanding of the time series for both model building and forecasting.

Keywords: White noise hypothesis; Autocorrelation; Escanciano and Lobato test; Information criteria; 62M10; 62F03; 62E20 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s11749-021-00794-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:testjl:v:31:y:2022:i:3:d:10.1007_s11749-021-00794-8

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-021-00794-8

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().