Rank-based tests for autoregressive against bilinear serial dependence

Marc Hallin and Youssef Benghabrit

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: Optimal (signed and unsigned) rank-based procedures are derived for the problem of testing autoregressive AR(1) dependence, with unspecified autoregressive parameter and innovation density, against first-order diagonal bilinear dependence. The proposed test statistics rely on rank-based versions of the residual spectrum and bispectrum. The resulting tests are asymptotically invariant, hence asymptotically distribution-free, and locally asymptotically most powerful. Their local asymptotic powers and asymptotic relative efficiencies with respect to the Gaussian Lagrange multiplier procedure of Saikkonen and Luukkonen (1988) are provided explicitly.

Date: 1996
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Citations: View citations in EconPapers (6)

Published in: Journal of Nonparametric Statistics (1996) v.6 n° 2-3,p.253-272

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