Bootstrap tests for autocorrelation.

DOI10.1016/S0167-9473(01)00031-7MaRDI QIDQ5958422zbMATH OpenFDO

Authors Jinook Jeong, Seoung Chung

Publication date 3 March 2002

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

Full work available at URL https://doi.org/10.1016/S0167-9473(01)00031-7

Mathematics Subject Classification ID

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

Recommendations

• Monte Carlo evaluation of asymptotic and bootstrap tests for residual autocorrelation
• A modified durbin—watson test for serial correlation in multiple regression under nonnormality using the bootstrap
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• On a new test for autocorrelation in regression models under nonnormality
• Finite sample power of linear regression autocorrelation tests

Cites work

• A New Approximation of the Critical Point of the Durbin-Watson Test for Serial Correlation
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• Better Bootstrap Confidence Intervals
• Bootstrap Confidence Intervals and Bootstrap Approximations
• 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)
• Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics
• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• scientific article; zbMATH DE number 3878183 (Why is no real title available?)
• scientific article; zbMATH DE number 4100419 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
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• scientific article; zbMATH DE number 3357848 (Why is no real title available?)
• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
• On Bootstrap Iteration for Coverage Correction in Confidence Intervals
• Second order optimality of stationary bootstrap
• Testing for Serial Correlation after Least Squares Regression
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Testing the Independence of Regression Disturbances
• The bootstrap and Edgeworth expansion
• The jackknife and the bootstrap for general stationary observations
• Theoretical comparison of bootstrap confidence intervals

Cited in

(10)

• Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
• External bootstrap tests for parameter stability.
• Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
• A modified durbin—watson test for serial correlation in multiple regression under nonnormality using the bootstrap
• scientific article; zbMATH DE number 4034883 (Why is no real title available?)
• Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
• Monte Carlo evaluation of asymptotic and bootstrap tests for residual autocorrelation
• Rényi statistics for testing equality of autocorrelation coefficients
• Empirical likelihood ratio test for autocorrelation in least squares regression
• A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series

Describes a project that uses

Uses Software

• bootstrap

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