A bootstrap-assisted spectral test of white noise under unknown dependence
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Publication:737899
DOI10.1016/j.jeconom.2011.01.001zbMath1441.62869OpenAlexW2089867346MaRDI QIDQ737899
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.01.001
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)
Related Items (16)
White noise testing and model diagnostic checking for functional time series ⋮ A WILD BOOTSTRAP FOR DEPENDENT DATA ⋮ Testing the martingale difference hypothesis in high dimension ⋮ Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Permutation testing for dependence in time series ⋮ Robust adaptive rate-optimal testing for the white noise hypothesis ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ Dependent Wild Bootstrap for the Empirical Process ⋮ Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation ⋮ A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ Parametric Inference in Stationary Time Series Models with Dependent Errors
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