Bootstrap tests for autocorrelation.

DOI10.1016/S0167-9473(01)00031-7zbMath1072.62633MaRDI QIDQ5958422

Seoung Chung, Jinook Jeong

Publication date: 3 March 2002

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (4)

Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model ⋮ A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series ⋮ Rényi statistics for testing equality of autocorrelation coefficients ⋮ Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

Uses Software

• bootstrap

Cites Work

• Second order optimality of stationary bootstrap
• Theoretical comparison of bootstrap confidence intervals
• Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics
• Bootstrap methods: another look at the jackknife
• Bootstrapped White's test for heteroskedasticity in regression models
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• The jackknife and the bootstrap for general stationary observations
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION
• Testing the Independence of Regression Disturbances
• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• A New Approximation of the Critical Point of the Durbin-Watson Test for Serial Correlation
• Better Bootstrap Confidence Intervals
• Bootstrap Confidence Intervals and Bootstrap Approximations
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• On Bootstrap Iteration for Coverage Correction in Confidence Intervals
• Testing for Serial Correlation after Least Squares Regression
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• The bootstrap and Edgeworth expansion
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