Shrinkage Regularization for (Non)Linear Serial Dependence Test

Published 10 Mar 2026 in econ.EM | (2603.10152v1)

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.

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