A bootstrapped spectral test for adequacy in weak ARMA models
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Publication:494376
DOI10.1016/J.JECONOM.2015.02.005zbMATH Open1337.62285OpenAlexW1827437448MaRDI QIDQ494376FDOQ494376
Authors: Ke Zhu, Wai Keung Li 
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/214576
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wild bootstrapleast squares estimationspectral testblock-wise random weighting methoddiagnostic checkingweak ARMA models
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (16)
- Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Temporal aggregation and systematic sampling for INGARCH processes
- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- White noise testing and model diagnostic checking for functional time series
- Estimating FARIMA models with uncorrelated but non-independent error terms
- A max-correlation white noise test for weakly dependent time series
- Optimal estimating function for weak location‐scale dynamic models
- Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- A new test for ARMA models with errors following a general white noise process
- The ZD-GARCH model: a new way to study heteroscedasticity
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
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