Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.03.021
Abstract: This paper extends the multi-scale serial correlation tests of Gencay and Signori (2015) for observable time series to unobservable errors of unknown forms in a linear dynamic regression model. Our tests directly build on the variance… read more here.
Keywords: serial correlation; tests serial; form dynamic; correlation ... See more keywords
Non-parametric tests for serial dependence in time series based on asymptotic implementations of ordinal-pattern statistics.
Sign Up to like & getrecommendations! Published in 2022 at "Chaos"
DOI: 10.1063/5.0094943
Abstract: Ordinal patterns can be used to construct non-parametric hypothesis tests that aim to discover (possibly non-linear) serial dependence in a real-valued time series. We derive the asymptotic distribution of the vector of sample frequencies of… read more here.
Keywords: time series; non parametric; based asymptotic; tests serial ... See more keywords