An Automatic Portmanteau Test For Nonlinear Dependence

IF 2 Q2 ECONOMICS
Charisios Grivas
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引用次数: 0

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 the type I error without being sensitive with respect to the number of autocorrelations used. In addition, the automatic test is found to have higher power in simulations when compared to the standard portmanteau test, for both raw data and residuals.
非线性相关性的自动组合检验
考虑了用于检测非线性统计依赖类型的组合测试的数据驱动版本。所提出的测试的一个吸引人的特点是,它适当地控制了I型误差,而对所使用的自相关的数量不敏感。此外,与标准组合测试相比,在模拟中发现自动测试在原始数据和残差方面都具有更高的功率。
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来源期刊
CiteScore
3.10
自引率
10.50%
发文量
84
期刊介绍: Econometrics and Statistics is the official journal of the networks Computational and Financial Econometrics and Computational and Methodological Statistics. It publishes research papers in all aspects of econometrics and statistics and comprises of the two sections Part A: Econometrics and Part B: Statistics.
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