A bootstrap-assisted spectral test of white noise under unknown dependence
From MaRDI portal
Publication:737899
DOI10.1016/j.jeconom.2011.01.001zbMath1441.62869OpenAlexW2089867346MaRDI QIDQ737899
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.01.001
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)
Related Items (16)
White noise testing and model diagnostic checking for functional time series ⋮ A WILD BOOTSTRAP FOR DEPENDENT DATA ⋮ Testing the martingale difference hypothesis in high dimension ⋮ Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Permutation testing for dependence in time series ⋮ Robust adaptive rate-optimal testing for the white noise hypothesis ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ Dependent Wild Bootstrap for the Empirical Process ⋮ Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation ⋮ A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ Parametric Inference in Stationary Time Series Models with Dependent Errors
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- Generalized spectral tests for the martingale difference hypothesis
- Goodness of fit tests for spectral distributions
- An introduction to bispectral analysis and bilinear time series models
- Bootstrap procedures under some non-i.i.d. models
- Subsampling
- Block length selection in the bootstrap for time series
- Generalized autoregressive conditional heteroscedasticity
- Jackknife, bootstrap and other resampling methods in regression analysis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Least absolute deviation estimation for all-pass time series models
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Weak convergence and empirical processes. With applications to statistics
- Bootstrap and wild bootstrap for high dimensional linear models
- Asymptotic spectral theory for nonlinear time series
- Strong invariance principles for dependent random variables
- On linear processes with dependent innovations
- An automatic portmanteau test for serial correlation
- Inference For Autocorrelations Under Weak Assumptions
- Bootstrap Approximations in Model Checks for Regression
- Automatic Lag Selection in Covariance Matrix Estimation
- Testing That a Dependent Process Is Uncorrelated
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- Limit theorems for iterated random functions
- On blocking rules for the bootstrap with dependent data
- Nonlinear system theory: Another look at dependence
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Central limit theorems for time series regression
This page was built for publication: A bootstrap-assisted spectral test of white noise under unknown dependence
