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• W2107781784 abstract "This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial correlation in the presence of dependence. Such decomposition can be carried out iteratively, each wavelet filter leading to a rich family of tests whose joint limiting null distribution is a multivariate normal. We illustrate the size and power properties of the proposed tests through Monte Carlo simulations." @default.
• W2107781784 created "2016-06-24" @default.
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• W2107781784 creator A5091471139 @default.
• W2107781784 date "2015-01-01" @default.
• W2107781784 modified "2023-10-01" @default.
• W2107781784 title "Multi-scale tests for serial correlation" @default.
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• W2107781784 doi "https://doi.org/10.1016/j.jeconom.2014.08.002" @default.
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