Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62854
Authors: 
Kapetanios, George
Year of Publication: 
2007
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 609
Abstract: 
Testing serial dependence is central to much of time series econometrics. A number of tests that have been developed and used to explore the dependence properties of various processes. This paper builds on recent work on nonparametric tests of independence. We consider a fact that characterises serially dependent processes using a generalisation of the autocorrelation function. Using this fact we build dependence tests that make use of neural network based approximations. We derive the theoretical properties of our tests and show that they have superior power properties. Our Monte Carlo evaluation supports the theoretical findings. An application to a large dataset of stock returns illustrates the usefulness of the proposed tests.
Subjects: 
Independence
Neural networks
Strict stationarity
Bootstrap, S&P500
JEL: 
C32
C33
G12
Document Type: 
Working Paper

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