Shrinkage Regularization for (Non)Linear Serial Dependence Test

Francesco Giancaterini, Alain Hecq, Joann Jasiak and Aryan Manafi Neyazi

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Abstract: This paper introduces a regularized test of the null hypothesis of the absence of linear and nonlinear serial dependence for high-dimensional non-Gaussian time series. Our approach extends the portmanteau test introduced in Jasiak and Neyazi (2023) to the high-dimensional setting.

Date: 2026-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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