A bootstrap-assisted spectral test of white noise under unknown dependence

DOI10.1016/J.JECONOM.2011.01.001MaRDI QIDQ737899zbMATHOpenAlexFDO

Authors Xiaofeng Shao

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

zbMATH Keywords

hypothesis testingtime serieswild bootstrapwhite noisespectral distribution function

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(24)

• Multifrequency-Band Tests for White Noise Under Heteroscedasticity
• Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
• Bootstrapping bispectra: an application to testing for departure from Gaussianity of stationary signals
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• Testing the martingale difference hypothesis in high dimension
• A white noise test under weak conditions
• Robust adaptive rate-optimal testing for the white noise hypothesis
• A WILD BOOTSTRAP FOR DEPENDENT DATA
• White noise testing and model diagnostic checking for functional time series
• A simple test for white noise in functional time series
• Inference for local distributions at high sampling frequencies: a bootstrap approach
• Parametric inference in stationary time series models with dependent errors
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• Estimating the variance of a combined forecast: bootstrap-based approach
• Permutation testing for dependence in time series
• Inference in VARs with conditional heteroskedasticity of unknown form
• Dependent wild bootstrap for the empirical process
• A spectral density test for whiteness
• Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
• A bootstrapped spectral test for adequacy in weak ARMA models
• Estimating and testing for smooth structural changes in moment condition models
• A max-correlation white noise test for weakly dependent time series

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