Keyword: Box-Pierce Q Test
| 論文タイトル | Testing for Autocorrelation Using a Modified Box-Pierce Q Test |
| 出版情報 | International Economic Review, Volume 42, Issue 1, February 2001 |
| 著者 | Ignacio Lobato, John C. Nankervis, N. E. Savin |
| 概要（abstract） | "This article investigates the finite-sample performance of a modified Box-Pierce Q statistic (Q*) for testing that financial time series are uncorrelated without assuming statistical independence. The finite-sample rejection probabilities of the Q* test under the null and its power are examined in experiments using time series generated by an MA (1) process where the errors are generated by a GARCH (1, 1) model and by a long memory stochastic volatility model. The tests are applied to daily currency returns." |
| 使用されているnAG製品 | Box-pierce Qk 統計量の漸近分布の計算にnAG Fortran Library ルーチン F02ABF 及び G01JDF が使用されている。 |