A simple and general test for white noise

Carlos Velasco and Ignacio Lobato

No 112, Econometric Society 2004 Latin American Meetings from Econometric Society

Abstract: This article considers testing that a time series is uncorrelated when it possibly exhibits some form of dependence. Contrary to the currently employed tests that require selecting arbitrary user-chosen numbers to compute the associated tests statistics, we consider a test statistic that is very simple to use because it does not require any user chosen number and because its asymptotic null distribution is standard under general weak dependent conditions, and hence, asymptotic critical values are readily available. We consider the case of testing that the raw data is white noise, and also consider the case of applying the test to the residuals of an ARMA model. Finally, we also study finite sample performance

Keywords: autocorrelation; spectral analysis; nonlinear dependence (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:latm04:112

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