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A Nonparametric Test of Serial Independence for Time Series and Residuals

✍ Scribed by Kilani Ghoudi; Reg J. Kulperger; Bruno Rémillard

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
349 KB
Volume
79
Category
Article
ISSN
0047-259X

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✦ Synopsis

This paper presents nonparametric tests of independence that can be used to test the independence of p random variables, serial independence for time series, or residuals data. These tests are shown to generalize the classical portmanteau statistics. Applications to both time series and regression residuals are discussed.

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The authors are grateful to Mark J. Powers, the editor, and two anonymous referees for their helpful comments and suggestions. Valuable comments on earlier versions from Thomas Schwarz and Fumi Quong are also greatly appreciated. The views stated in this article are those of the authors and do not n