A bootstrapped spectral test for adequacy in weak ARMA models

DOI10.1016/j.jeconom.2015.02.005zbMath1337.62285OpenAlexW1827437448MaRDI QIDQ494376

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

zbMATH Keywords

spectral testleast squares estimationwild bootstrapblock-wise random weighting methoddiagnostic checkingweak ARMA models

Mathematics Subject Classification ID

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)

Related Items (12)

Temporal aggregation and systematic sampling for INGARCH processes ⋮ White noise testing and model diagnostic checking for functional time series ⋮ The ZD-GARCH model: a new way to study heteroscedasticity ⋮ Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ Optimal estimating function for weak location‐scale dynamic models ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES

Uses Software

• FinTS

Cites Work

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