Scandinavian Working Papers in Business Administration

JIBS Working Papers,
Jönköping International Business School

No 2012-2: Testing for Autocorrelation in High-dimensional Data

RASHID MANSOOR () and H. E. T. HOLGERSSON ()
Additional contact information
RASHID MANSOOR: Jönköping International Business School
H. E. T. HOLGERSSON: Jönköping International Business School

Abstract: In this paper we investigate the size and power properties of some common tests for autocorrelation when applied to high-dimensional data. This includes cases when the dimension of data increases with the sample size. A total of seven tests, of which one is proposed by the authors, are investigated through Monte Carlo simulations. We include several functional forms of the autoregressive parameter and the residual covariance matrix to assess the tests. It is shown that all included standard tests fail either in terms of size or power if the dimension of data is close to the sample size, while the new test has good overall properties.

Keywords: VAR(1); Multivariate autocorrelation tests; Increasing dimension

15 pages, April 23, 2012

Download statistics

Questions (including download problems) about the papers in this series should be directed to Susanne Hansson ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 17:10:08.