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Wild bootstrap Ljung-Box test for autocorrelation in vector autoregressive and error correction models
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 Title & Authors
Wild bootstrap Ljung-Box test for autocorrelation in vector autoregressive and error correction models
Lee, Myeongwoo; Lee, Taewook;
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 Abstract
We consider the wild bootstrap Ljung-Box (LB) test for autocorrelation in residuals of fitted multivariate time series models. The asymptotic chi-square distribution under the IID assumption is traditionally used for the LB test; however, size distortion tends to occur in the usage of the LB test, due to the conditional heteroskedasticity of financial time series. In order to overcome such defects, we propose the wild bootstrap LB test for autocorrelation in residuals of fitted vector autoregressive and error correction models. The simulation study and real data analysis are conducted for finite sample performance.
 Keywords
Ljung-Box test;vector autoregressive model;vector error correction model;Wild bootstrap;
 Language
Korean
 Cited by
 References
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