Neglected serial correlation tests in UCARIMA models

Serial Correlation Tests with Wavelets

This paper offers two new statistical tests for serial correlation with better power properties. The first test is concerned with wavelet-based portmanteau tests of serial correlation. The second test extends the wavelet-based tests to the residuals of a linear regression model. The wavelet approach is appealing, since it is based on the different behavior of the spectra of a white noise proces...

Serial Correlation Coefficient

In this paper, we investigate the relation between two variables where the one is measured with the ratio or interval scale and the other with the nominal. In this cases, we use from serial correlation coefficient. Computation of some serial coefficient such as biserial and point-biserial coefficient is carried out with some examples and R program.

Models, Testing, and Correction of Serial Correlation

Tests for Serial Independence and Linearity based on Correlation Integrals

We propose information theoretic tests for serial independence and linearity in time series. The test statistics are based on the conditional mutual information, a general measure of dependence between lagged variables. In case of rejecting the null hypothesis, this readily provides insights into the lags through which the dependence arises. The conditional mutual information is estimated using...

Testing for Serial Correlation: Generalized Andrews- Ploberger Tests

N. E. Savin Department of Economics, University of Iowa, Iowa City, IA 52242. August, 2008 (forthcoming in Journal of Business and Economic Statistics) ABSTRACT This paper considers testing the null hypothesis that a times series is uncorrelated when the time series is uncorrelated but statistically dependent. This case is of interest in economic and finance applications. The GARCH (1, 1) model...