TY - JOUR
T1 - A consistent nonparametric test for serial independence
AU - Pinkse, Joris
N1 - Funding Information:
This article is based 011 rcscarch tilndcd by the [:cononrlc and Soc1;11R chWrch C‘ouncil (tISli(‘ 1. rcfcrcncc number ROOO233W~. and by the Social Sciences and Humanities Research Council of (‘anada. ‘fhc author thanks the Foreign and Commonwealth Otlicc and his parents for financial support. The author also thanks Pctcr Robinson. Javicr t lidalgo. (‘raig Drctt. John Crag. Has Wa-km. Mr:k Dcvcreux. the Co-Editor, the Associate Editor, two anonymous referees and participants ot the workshops ilt the London School of Economics, rhc University of British Columbia. Tilburg University. the Fret IJnivcrsiry of kIrusscls and the Europcim Meeting of the Econometric Society at IJp\)sala for their \jaluablcc omments.
Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.
PY - 1998/6
Y1 - 1998/6
N2 - We propose a nonparametric test for serial independence against serial dependence of fixed order that is consistent against all such alternatives. The conditions required are weak, the asymptotic distribution under the null is χ21, and the test works regardless of the underlying distribution. Also included are a nuisance parameter result, Monte Carlo simulations, a theoretical efficiency study, an empirical example, and a review of possible extensions. In addition, we derive a similar consistent test for lack of serial dependence of order one against serial dependence of order one.
AB - We propose a nonparametric test for serial independence against serial dependence of fixed order that is consistent against all such alternatives. The conditions required are weak, the asymptotic distribution under the null is χ21, and the test works regardless of the underlying distribution. Also included are a nuisance parameter result, Monte Carlo simulations, a theoretical efficiency study, an empirical example, and a review of possible extensions. In addition, we derive a similar consistent test for lack of serial dependence of order one against serial dependence of order one.
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U2 - 10.1016/S0304-4076(97)00084-5
DO - 10.1016/S0304-4076(97)00084-5
M3 - Article
AN - SCOPUS:0002210906
SN - 0304-4076
VL - 84
SP - 205
EP - 231
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -