|
EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/55171
|
| | |
| Title: | | Adaptive rate-optimal detection of small autocorrelation coefficient  |
| Authors: | | Guay, Alain Guerre, Emmanuel Lazarová, Štepána |
| Issue Date: | | 2009 |
| Series/Report no.: | | Working Paper // School of Economics and Finance, Queen Mary, University of London 645 |
| Abstract: | | A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of alternatives. The test can detect alternatives with many small correlation coefficients that can go to zero with an optimal adaptive rate which is faster than the parametric rate. The adaptive rate-optimality against smooth alternatives of the new test is established as well. The test can also detect ARMA and local Pitman alternatives converging to the null with a rate close or equal to the parametric one. A simulation experiment and an application to monthly financial square returns illustrate the usefulness of the proposed approach. |
| Subjects: | | absence of serial correlation data-driven nonparametric tests adaptive rate-optimality small alternatives time series |
| JEL: | | C12 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series, School of Economics and Finance, Queen Mary, University of London
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/55171
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|