An Automatic Portmanteau Test For Nonlinear Dependence

Grivas, Charisios (2021): An Automatic Portmanteau Test For Nonlinear Dependence.

Abstract

A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls type I error without depending on the number of lags. In addition, the automatic test is found to have higher power in simulations when compared to the McLeod and Li test, for both raw data and residuals.

• Item Type: MPRA Paper
• Language: English
• Keywords: ARMA time series;Akaike's AIC;Schwarz's BIC; Portmanteau test; Data-driven test
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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