Bootstrap specification tests for linear covariance stationary processes

DOI10.1016/J.JECONOM.2005.06.015MaRDI QIDQ275265zbMATH OpenOpenAlexFDO

Authors Javier Hidalgo, Jens-Peter Kreiß

Publication date 25 April 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.06.015

zbMATH Keywords

Gaussian processesgoodness-of-fitbootstrap testsspectral distributionlinear processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09)

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Cited in

(17)

• A bootstrap causality test for covariance stationary processes
• A parametric bootstrap test for cycles
• Bootstrap assisted specification tests for the ARFIMA model
• A linear approximation to the wild bootstrap in specification testing
• A goodness-of-fit test for ARCH() models
• A goodness-of-fit test for a class of autoregressive conditional duration models
• Goodness of fit for lattice processes
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• An alternative bootstrap to moving blocks for time series regression models
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
• Bootstrap methods for dependent data: a review
• An updated review of goodness-of-fit tests for regression models
• ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S U_p-STATISTIC
• Specification tests for lattice processes

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