A bootstrapped spectral test for adequacy in weak ARMA models

doi:10.1016/j.jeconom.2015.02.005

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	A bootstrapped spectral test for adequacy in weak ARMA models
	Zhu, Ke1 ; Li, Wai Keung 2
刊名	JOURNAL OF ECONOMETRICS
	2015-07-01
卷号	187 期号:1 页码:113-130
关键词	Block-wise random weighting method Diagnostic checking Least squares estimation Spectral test Weak ARMA models Wild bootstrap
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2015.02.005
英文摘要	This paper proposes a Cramer-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. (C) 2015 Elsevier B.V. All rights reserved.
资助项目	Research Grants Council of the Hong Kong SAR Government, GRF grant[HKU703711P] ; National Natural Science Foundation of China[11201459] ; Academy of Mathematics and Systems Science, CAS[2014-cjrwlzx-zk] ; Key Laboratory of RCSDS, CAS
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000356194000008
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/19945]
专题	国家数学与交叉科学中心
通讯作者	Li, Wai Keung
作者单位	1.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Ke,Li, Wai Keung. A bootstrapped spectral test for adequacy in weak ARMA models[J]. JOURNAL OF ECONOMETRICS,2015,187(1):113-130.
APA	Zhu, Ke,&Li, Wai Keung.(2015).A bootstrapped spectral test for adequacy in weak ARMA models.JOURNAL OF ECONOMETRICS,187(1),113-130.
MLA	Zhu, Ke,et al."A bootstrapped spectral test for adequacy in weak ARMA models".JOURNAL OF ECONOMETRICS 187.1(2015):113-130.