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A simple and general test for white noise

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorLobato, Ignacio N.
dc.contributor.authorVelasco, Carlos
dc.date.accessioned2009-06-15T13:42:27Z
dc.date.available2009-06-15T13:42:27Z
dc.date.issued2004-08
dc.description.abstractThis 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.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/4417
dc.language.isoeng
dc.publisherThe Econometric Society
dc.relation.ispartofseriesEconometric Society 2004 Latin American Meetings
dc.relation.ispartofseries112
dc.rights.accessRightsopen access
dc.subjectGaussianity
dc.subjectNonparametric
dc.subjectAutocorrelation
dc.subjectPeriodogram
dc.subjectBootstrap
dc.subjectNonlinear dependence
dc.subject.ecienciaEconomía
dc.titleA simple and general test for white noise
dc.typeworking paper*
dspace.entity.typePublication
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