Multi-scale tests for serial correlation |
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Authors: | Ramazan Genç ay,Daniele Signori |
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Affiliation: | Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, British Columbia, V5A 1S6, Canada |
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Abstract: | This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial correlation in the presence of dependence. Such decomposition can be carried out iteratively, each wavelet filter leading to a rich family of tests whose joint limiting null distribution is a multivariate normal. We illustrate the size and power properties of the proposed tests through Monte Carlo simulations. |
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Keywords: | C1 C2 C12 C22 C58 F31 G0 G1 |
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