Robust and powerful serial correlation tests with new robust estimates in ARX models
We consider robust serial correlation tests in autoregressive models with exogenous variables (ARX). Since the least squares estimators are not robust when outliers are present, a new family of estimators is introduced, called residual autocovariances for ARX (RA-ARX). They provide resistant estimators that are less sensible to abnormal observations in the output variable of the dynamic model. Such 'bad' observations could be due to unexpected phenomena such as economic crisis or equipment failure in engineering, among others. We show that the new robust estimators are consistent and we can consider robust and powerful tests of serial correlation in ARX models based on these estimators. The new one-sided tests of serial correlation are obtained in extending Hong's (1996) approach in a framework resistant to outliers. They are based on a weighted sum of robust squared residual autocorrelations and on any robust and n-super-1/2-consistent estimators. Our approach generalizes Li's (1988) test statistic, that can be interpreted as a test using the truncated uniform kernel. However, many kernels deliver a higher power. This is confirmed in a simulation study, where we investigate the finite sample properties of the new robust serial correlation tests in comparison to some commonly used robust and non-robust tests. Copyright 2005 Blackwell Publishing Ltd.
Year of publication: |
2005
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Authors: | Duchesne, Pierre |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 26.2005, 1, p. 49-81
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Publisher: |
Wiley Blackwell |
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