Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness

Joel L. Horowitz; I. N. Lobato; John C. Nankervis; N. E. Savin

doi:10.1016/j.jeconom.2005.06.014

Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness

Joel L. Horowitz, I. N. Lobato, John C. Nankervis, N. E. Savin^*

^*Corresponding author for this work

Economics

Research output: Contribution to journal › Article › peer-review

56 Scopus citations

Abstract

This paper describes a test of the null hypothesis that the first K autocorrelations of a covariance stationary time series are zero in the presence of statistical dependence. The test is based on the Box-Pierce Q statistic with bootstrap-based P-values. The bootstrap is implemented using a double blocks-of-blocks procedure with prewhitening. The finite sample performance of the bootstrap Q test is investigated by simulation. In our experiments, the performance is satisfactory for samples of n = 500. At this sample size, the differences between the empirical and nominal rejection probabilities are essentially eliminated.

Original language	English (US)
Pages (from-to)	841-862
Number of pages	22
Journal	Journal of Econometrics
Volume	133
Issue number	2
DOIs	https://doi.org/10.1016/j.jeconom.2005.06.014
State	Published - Aug 2006

Funding

We thank Paul Weller, the seminar participants at Monash University and participants at the Cowles Foundation Conference “New Developments in Time Series Econometrics” for helpful suggestions and comments. The research of Joel L. Horowitz was supported in part by NSF Grant SES-9910925. I. N. Lobato acknowledges financial support from the Asociación Mexicana de Cultura and CONACYT Grant no. 41893-S. John Nankervis gratefully acknowledges financial support from the ESRC through Research Grant no. R000222581.

Keywords

Adjusted P-values
Blocks of blocks bootstrap
Box-Pierce Q
Double bootstrap
Serial correlation tests

ASJC Scopus subject areas

Applied Mathematics
Economics and Econometrics

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10.1016/j.jeconom.2005.06.014

Cite this

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title = "Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness",

abstract = "This paper describes a test of the null hypothesis that the first K autocorrelations of a covariance stationary time series are zero in the presence of statistical dependence. The test is based on the Box-Pierce Q statistic with bootstrap-based P-values. The bootstrap is implemented using a double blocks-of-blocks procedure with prewhitening. The finite sample performance of the bootstrap Q test is investigated by simulation. In our experiments, the performance is satisfactory for samples of n = 500. At this sample size, the differences between the empirical and nominal rejection probabilities are essentially eliminated.",

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note = "Funding Information: We thank Paul Weller, the seminar participants at Monash University and participants at the Cowles Foundation Conference “New Developments in Time Series Econometrics” for helpful suggestions and comments. The research of Joel L. Horowitz was supported in part by NSF Grant SES-9910925. I. N. Lobato acknowledges financial support from the Asociaci{\'o}n Mexicana de Cultura and CONACYT Grant no. 41893-S. John Nankervis gratefully acknowledges financial support from the ESRC through Research Grant no. R000222581. ",

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Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness

Abstract

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Keywords

ASJC Scopus subject areas

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