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Author
C. Diks
V. Panchenko
Year
2007
Title
Nonparametric tests for serial independence based on quadratic forms
Journal
Statistica Sinica
Volume | Issue number
17 | 1
Pages (from-to)
81-98
Number of pages
18
Document type
Article
Faculty
Faculty of Economics and Business (FEB)
Institute
Amsterdam School of Economics Research Institute (ASE-RI)
Abstract
Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial independence using kernel-based quadratic forms. This separates the problem of consistently estimating the divergence measure from that of consistently estimating the underlying joint densities, the existence of which is no longer required. Exact level tests are obtained by implementing a Monte Carlo procedure using permutations of the original observations. The bandwidth selection problem is addressed by introducing a multiple bandwidth procedure based on a range of different bandwidth values. After numerically establishing that the tests perform well compared to existing nonparametric tests, applications to estimated time series residuals are considered. The approach is illustrated with an application to financial returns data.

Key words and phrases: Bandwidth selection, nonparametric tests, serial independence, quadratic forms.
Link
Link
Language
Undefined/Unknown
Permalink
http://hdl.handle.net/11245/1.284580

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