Generalized Spectral Tests for Serial Dependence

Yongmiao Hong

100 citations0/0 files storedJournal of the Royal Statistical Society Series B (Statistical Methodology)

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

Abstract

Summary Two tests for serial dependence are proposed using a generalized spectral theory in combination with the empirical distribution function. The tests are generalizations of the Cramér-von Mises and Kolmogorov-Smirnov tests based on the standardized spectral distribution function. They do not involve the choice of a lag order, and they are consistent against all types of pairwise serial dependence, including those with zero autocorrelation. They also require no moment condition and are distribution free under serial independence. A simulation study compares the finite sample performances of the new tests and some closely related tests. The asymptotic distribution theory works well in finite samples. The generalized Cramér-von Mises test has good power against a variety of dependent alternatives and dominates the generalized Kolmogorov-Smirnov test. A local power analysis explains some important stylized facts on the power of the tests based on the empirical distribution function.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 100 citations exist upstream.

References

1996A test for independence based on the correlation dimension 1967The Variation of Some Other Speculative Prices 1991Consistent Nonparametric Entropy-Based Testing

Cited by

2008A non-parametric independence test using permutation entropy 2001A Nonparametric Test of Serial Independence for Time Series and Residuals 2015Of copulas, quantiles, ranks and spectra: An $L_{1}$-approach to spectral analysis 2018An Updated Literature Review of Distance Correlation and Its Applications to Time Series 2008Identifying Term Structure Volatility from the LIBOR-Swap Curve 2016Quantile spectral processes: Asymptotic analysis and inference 2017Quantile Spectral Analysis for Locally Stationary Time Series 2006LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.