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。


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