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

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References

2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form631 cited
1989The size and power of the variance ratio test in finite samples522 cited
1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
1994Modelling nonlinear economic relationships296 cited
1999Properties of moments of a family of GARCH processes278 cited
2001Testing for Autocorrelation Using a Modified Box‐Pierce Q Test104 cited
2002TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE97 cited

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2014Multi-scale tests for serial correlation57 cited
2009Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity55 cited
2010TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS53 cited
2004Modelling Realized Variance when Returns are Serially Correlated48 cited
2020ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION43 cited

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2020

Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality

30 cited

2015A bootstrapped spectral test for adequacy in weak ARMA models28 cited