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Robust Adaptive Rate-Optimal Testing for the White Noise Hypothesis

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(n1/2)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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