File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.jeconom.2015.02.005
- Scopus: eid_2-s2.0-84929617322
- WOS: WOS:000356194000008
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: A bootstrapped spectral test for adequacy in weak ARMA models
Title | A bootstrapped spectral test for adequacy in weak ARMA models |
---|---|
Authors | |
Keywords | Block-wise random weighting method Diagnostic checking Least squares estimation Spectral test Weak ARMA models Wild bootstrap |
Issue Date | 2015 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom |
Citation | Journal of Econometrics, 2015, v. 187 n. 1, p. 113-130 How to Cite? |
Abstract | This paper proposes a Cramér-von Mises (CM) test statistic to check the adequacy of weak ARMA models. Without posing a martingale difference assumption on the error terms, the asymptotic null distribution of the CM test is obtained. Moreover, this CM test is consistent, and has nontrivial power against the local alternative of order n-1/2. Due to the unknown dependence of error terms and the estimation effects, a new block-wise random weighting method is constructed to bootstrap the critical values of the test statistic. The new method is easy to implement and its validity is justified. The theory is illustrated by a small simulation study and an application to S&P 500 stock index. © 2015 Elsevier B.V. |
Persistent Identifier | http://hdl.handle.net/10722/214576 |
ISSN | 2023 Impact Factor: 9.9 2023 SCImago Journal Rankings: 9.161 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Zhu, K | - |
dc.contributor.author | Li, WK | - |
dc.date.accessioned | 2015-08-21T11:38:49Z | - |
dc.date.available | 2015-08-21T11:38:49Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Journal of Econometrics, 2015, v. 187 n. 1, p. 113-130 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | http://hdl.handle.net/10722/214576 | - |
dc.description.abstract | This paper proposes a Cramér-von Mises (CM) test statistic to check the adequacy of weak ARMA models. Without posing a martingale difference assumption on the error terms, the asymptotic null distribution of the CM test is obtained. Moreover, this CM test is consistent, and has nontrivial power against the local alternative of order n-1/2. Due to the unknown dependence of error terms and the estimation effects, a new block-wise random weighting method is constructed to bootstrap the critical values of the test statistic. The new method is easy to implement and its validity is justified. The theory is illustrated by a small simulation study and an application to S&P 500 stock index. © 2015 Elsevier B.V. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom | - |
dc.relation.ispartof | Journal of Econometrics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License | - |
dc.subject | Block-wise random weighting method | - |
dc.subject | Diagnostic checking | - |
dc.subject | Least squares estimation | - |
dc.subject | Spectral test | - |
dc.subject | Weak ARMA models | - |
dc.subject | Wild bootstrap | - |
dc.title | A bootstrapped spectral test for adequacy in weak ARMA models | - |
dc.type | Article | - |
dc.identifier.email | Li, WK: hrntlwk@hkucc.hku.hk | - |
dc.identifier.authority | Li, WK=rp00741 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.jeconom.2015.02.005 | - |
dc.identifier.scopus | eid_2-s2.0-84929617322 | - |
dc.identifier.hkuros | 248603 | - |
dc.identifier.volume | 187 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 113 | - |
dc.identifier.epage | 130 | - |
dc.identifier.isi | WOS:000356194000008 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0304-4076 | - |