Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness

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• 作者：Joel L. Horowitz ; I.N. Lobato ; John C. Nankervis and N.E. Savin
• 关键词：Serial correlation tests ; Box– ; Pierce Q ; Blocks of blocks bootstrap ; Adjusted P-values ; Double bootstrap
• 刊名：Journal of Econometrics
• 出版年：2006
• 期刊代码：31_03044076
• 类别：mt
• 出版时间：August 2006
• 卷：133
• 期：2
• 页码：841-862
• 文件大小：281 K

摘要

This paper describes a test of the null hypothesis that the first K autocorrelations of a covariance stationary time series are zero in the presence of statistical dependence. The test is based on the Box–Pierce Q statistic with bootstrap-based P-values. The bootstrap is implemented using a double blocks-of-blocks procedure with prewhitening. The finite sample performance of the bootstrap Q test is investigated by simulation. In our experiments, the performance is satisfactory for samples of n