A power comparison between autocorrelation based tests

Raja Ben Hajria; Salah Khardani; Hamdi Raïssi

doi:10.1016/j.spl.2018.07.015

A power comparison between autocorrelation based tests

Raja Ben Hajria, Salah Khardani, Hamdi Raïssi

INSTITUTE OF STATISTICS

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3 Scopus citations

Abstract

In this paper we provide an asymptotic theoretical power comparison in the Bahadur sense, between the portmanteau and Breusch–Godfrey Lagrange Multiplier (LM) tests for the goodness-of-fit checking of vector autoregressive (VAR) models. We also aim to give some theoretical explanations on simulation results obtained in the literature, and suggest some guidelines on the choice of the number of autocorrelations in the test statistics. The merits and the drawbacks of the studied tests are illustrated using Monte Carlo experiments.

Original language	English
Pages (from-to)	1-6
Number of pages	6
Journal	Statistics and Probability Letters
Volume	143
DOIs	https://doi.org/10.1016/j.spl.2018.07.015
State	Published - Dec 2018

Keywords

Cointegration
Lagrange multiplier tests
Portmanteau tests
Residual autocorrelations
VAR model
VECM model

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10.1016/j.spl.2018.07.015

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abstract = "In this paper we provide an asymptotic theoretical power comparison in the Bahadur sense, between the portmanteau and Breusch–Godfrey Lagrange Multiplier (LM) tests for the goodness-of-fit checking of vector autoregressive (VAR) models. We also aim to give some theoretical explanations on simulation results obtained in the literature, and suggest some guidelines on the choice of the number of autocorrelations in the test statistics. The merits and the drawbacks of the studied tests are illustrated using Monte Carlo experiments.",

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AU - Hajria, Raja Ben

AU - Khardani, Salah

AU - Raïssi, Hamdi

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N2 - In this paper we provide an asymptotic theoretical power comparison in the Bahadur sense, between the portmanteau and Breusch–Godfrey Lagrange Multiplier (LM) tests for the goodness-of-fit checking of vector autoregressive (VAR) models. We also aim to give some theoretical explanations on simulation results obtained in the literature, and suggest some guidelines on the choice of the number of autocorrelations in the test statistics. The merits and the drawbacks of the studied tests are illustrated using Monte Carlo experiments.

AB - In this paper we provide an asymptotic theoretical power comparison in the Bahadur sense, between the portmanteau and Breusch–Godfrey Lagrange Multiplier (LM) tests for the goodness-of-fit checking of vector autoregressive (VAR) models. We also aim to give some theoretical explanations on simulation results obtained in the literature, and suggest some guidelines on the choice of the number of autocorrelations in the test statistics. The merits and the drawbacks of the studied tests are illustrated using Monte Carlo experiments.

KW - Cointegration

KW - Lagrange multiplier tests

KW - Portmanteau tests

KW - Residual autocorrelations

KW - VAR model

KW - VECM model

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VL - 143

SP - 1

EP - 6

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

A power comparison between autocorrelation based tests

Abstract

Keywords

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