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Wild bootstrap Ljung-Box test for autocorrelation in vector autoregressive and error correction models

벡터자기회귀모형과 오차수정모형의 자기상관성을 위한 와일드 붓스트랩 Ljung-Box 검정

Lee, Myeongwoo;Lee, Taewook
이명우;이태욱

  • Received : 2015.12.02
  • Accepted : 2015.12.23
  • Published : 2016.02.29

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

References

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Acknowledgement

Supported by : 한국외국어대학교