Data-Driven Adaptive Rate-Optimal Nonparametric Testing for the Absence of Serial Correlation 1

@inproceedings{Guay2008DataDrivenAR,
  title={Data-Driven Adaptive Rate-Optimal Nonparametric Testing for the Absence of Serial Correlation 1},
  author={Alain Guay and Emmanuel Guerre and Stepana Lazarova},
  year={2008}
}
A new adaptive test is proposed for the null of absence of serial correlation. The adaptive approach is an elegant way to circumvent the fact that testing for absence of correlation is an ill-posed problem. Moreover, the adaptation makes better use of the smoothness of the underlying alternative, improving on the consistency rates of the non-adaptive approaches and achieving rates that are arbitrary close to the parametric rate. The test statistic combines several statistics using a new… CONTINUE READING