PRELIMINARY AND INCOMPLETE DRAFT Bootstrapping the Box - Pierce Q test : A Robust Test of Uncorrelatedness
نویسندگان
چکیده
This paper considers a test of the null hypothesis that the first K autocorrelations of a covariance stationary time series are zero in the presence of statistical dependence. The test is based on the BoxPierce Q statistic with bootstrap-based critical values. The bootstrap is implemented using a double blocks of blocks procedure with prewhitening. The finite sample performance of the bootstrap Q test is investigated by simulation and by a theoretical analysis based on a formal Edgeworth expansion.
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Radio, Millimeter and Submillimeter Planning Group
NOTE: This is a first draft of the RMSPG report. It needs substantial polishing, is definitely too long and still, in places, incomplete. However, we post it in this preliminary state in order to invite community input at a stage when input can still help us shape the final report. We trust that the unevenness and imperfection will be recognized for its preliminary nature (“warts and all”). We ...
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