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

Journal of Econometrics

Volumn 133, Issue 2, 2006, Pages 841-862

  Horowitz, Joel L ^a   Lobato, I N ^b   Nankervis, John C ^c   Savin, N E ^d  

^a NORTHWESTERN UNIVERSITY   (United States)

^b INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

^c UNIVERSITY OF ESSEX   (United Kingdom)

^d UNIVERSITY OF IOWA   (United States)

Author keywords

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

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; FINITE ELEMENT METHOD; NUMERICAL METHODS; PROBABILITY; TIME SERIES ANALYSIS;

ADJUSTED P-VALUES; BLOCKS OF BLOCKS BOOTSTRAP; BOX-PIERCE Q; DOUBLE BOOTSTRAP; SERIAL CORRELATION TESTS;

STATISTICAL METHODS;

EID: 33746013821     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.014     Document Type: Article

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