Shrinkage Regularization for (Non)Linear Serial Dependence Test

Authors: Francesco Giancaterini, Alain Hecq, Joann Jasiak, Aryan Manafi Neyazi

Year: 2026

econ.EM

0
Citations
2026
Published
4
Authors

Abstract

This paper introduces a regularized test of the null hypothesis of the absence of linear and nonlinear serial dependence for high-dimensional non-Gaussian time series. Our approach extends the portmanteau test introduced in Jasiak and Neyazi (2023) to the high-dimensional setting.

Read PDF