Shrinkage Regularization for (Non)Linear Serial Dependence Test
Econometrics
2026-03-12 v1
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.
Cite
@article{arxiv.2603.10152,
title = {Shrinkage Regularization for (Non)Linear Serial Dependence Test},
author = {Francesco Giancaterini and Alain Hecq and Joann Jasiak and Aryan Manafi Neyazi},
journal= {arXiv preprint arXiv:2603.10152},
year = {2026}
}
Comments
10 pages