Portmanteau tests are typically used to test serial independence even if, by construction, they are generally powerful only in presence of pairwise dependence between lagged variables. In this paper we present a simple statistic defining a new serial independence test which is able to detect more general forms of dependence. In particular, differently from the Portmanteau tests, the resulting test is powerful also under a dependent process characterized by pairwise independence. A diagram, based on p-values from the proposed test, is introduced to investigate serial dependence. Finally, the effectiveness of the proposal is evaluated in a simulation study and with an application on financial data. Both show that the new test, used in synergy with the existing ones, helps in the identification of the true data generating process.

Testing for serial independence: Beyond the Portmanteau approach

Punzo, A.
2018-01-01

Abstract

Portmanteau tests are typically used to test serial independence even if, by construction, they are generally powerful only in presence of pairwise dependence between lagged variables. In this paper we present a simple statistic defining a new serial independence test which is able to detect more general forms of dependence. In particular, differently from the Portmanteau tests, the resulting test is powerful also under a dependent process characterized by pairwise independence. A diagram, based on p-values from the proposed test, is introduced to investigate serial dependence. Finally, the effectiveness of the proposal is evaluated in a simulation study and with an application on financial data. Both show that the new test, used in synergy with the existing ones, helps in the identification of the true data generating process.
Chi-squared statistic, Model diagnostic checking, Multi-way contingency table, Nonlinear time series, Portmanteau approach, Serial dependence
File in questo prodotto:
File Dimensione Formato  
Bagnato, De Capitani & Punzo (2018) - TAS.pdf

non disponibili

Descrizione: Articolo principale in post-print
Tipologia: Documento in Post-print
Dimensione 9.52 MB
Formato Adobe PDF
9.52 MB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11769/20015
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 2
  • ???jsp.display-item.citation.isi??? 1
social impact