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- Publisher Website: 10.1111/rssb.12112
- Scopus: eid_2-s2.0-84956594287
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Article: Bootstrapping the portmanteau tests in weak auto-regressive moving average models
Title | Bootstrapping the portmanteau tests in weak auto-regressive moving average models |
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Authors | |
Keywords | Random-weighting approach Portmanteau test Weighted portmanteau test Bootstrap method Power generalized auto-regressive conditional heteroscedasticity models Weak auto-regressive moving average models |
Issue Date | 2016 |
Citation | Journal of the Royal Statistical Society. Series B: Statistical Methodology, 2016, v. 78, n. 2, p. 463-485 How to Cite? |
Abstract | © 2016 The Royal Statistical Society and Blackwell Publishing Ltd.The paper uses a random-weighting (RW) method to bootstrap the critical values for the Ljung-Box or Monti portmanteau tests and weighted Ljung-Box or Monti portmanteau tests in weak auto-regressive moving average models. Unlike the existing methods, no user-chosen parameter is needed to implement the RW method. As an application, these four tests are used to check the model adequacy in power generalized auto-regressive conditional heteroscedasticity models. Simulation evidence indicates that the weighted portmanteau tests have a power advantage over other existing tests. A real example on the Standard and Poor's 500 index illustrates the merits of our testing procedure. As an extension, the blockwise RW method is also studied. |
Persistent Identifier | http://hdl.handle.net/10722/231018 |
ISSN | 2021 Impact Factor: 4.933 2020 SCImago Journal Rankings: 6.523 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhu, Ke | - |
dc.date.accessioned | 2016-09-01T06:07:24Z | - |
dc.date.available | 2016-09-01T06:07:24Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Journal of the Royal Statistical Society. Series B: Statistical Methodology, 2016, v. 78, n. 2, p. 463-485 | - |
dc.identifier.issn | 1369-7412 | - |
dc.identifier.uri | http://hdl.handle.net/10722/231018 | - |
dc.description.abstract | © 2016 The Royal Statistical Society and Blackwell Publishing Ltd.The paper uses a random-weighting (RW) method to bootstrap the critical values for the Ljung-Box or Monti portmanteau tests and weighted Ljung-Box or Monti portmanteau tests in weak auto-regressive moving average models. Unlike the existing methods, no user-chosen parameter is needed to implement the RW method. As an application, these four tests are used to check the model adequacy in power generalized auto-regressive conditional heteroscedasticity models. Simulation evidence indicates that the weighted portmanteau tests have a power advantage over other existing tests. A real example on the Standard and Poor's 500 index illustrates the merits of our testing procedure. As an extension, the blockwise RW method is also studied. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of the Royal Statistical Society. Series B: Statistical Methodology | - |
dc.subject | Random-weighting approach | - |
dc.subject | Portmanteau test | - |
dc.subject | Weighted portmanteau test | - |
dc.subject | Bootstrap method | - |
dc.subject | Power generalized auto-regressive conditional heteroscedasticity models | - |
dc.subject | Weak auto-regressive moving average models | - |
dc.title | Bootstrapping the portmanteau tests in weak auto-regressive moving average models | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1111/rssb.12112 | - |
dc.identifier.scopus | eid_2-s2.0-84956594287 | - |
dc.identifier.hkuros | 298377 | - |
dc.identifier.volume | 78 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 463 | - |
dc.identifier.epage | 485 | - |
dc.identifier.eissn | 1467-9868 | - |
dc.identifier.isi | WOS:000369136600007 | - |
dc.identifier.issnl | 1369-7412 | - |