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arXiv · 1106.2014

Robust Adaptive Rate-Optimal Testing for the White Noise Hypothesis

Alain Guay·Emmanuel Guerre·Stepana Lazarova
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Abstract

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic choice of the order for a Box-Pierce or Hong test statistic. The test uses Lobato (2001) or Kuan and Lee (2006) HAC critical values. The data-driven order choice is tailored to detect a new class of alternatives with autocorrelation coefficients which can be $o(n^{-1/2})$ provided there are enough of them. A simulation experiment illustrates the good behavior of the test both under the weak white noise null and the alternative.

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Alain Guay, Emmanuel Guerre, Stepana Lazarova. 2012-11-02. Robust Adaptive Rate-Optimal Testing for the White Noise Hypothesis. https://doi.org/10.1016/j.jeconom.2013.05.001

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