A bootstrapped spectral test for adequacy in weak ARMA models
文献类型：期刊论文
| 作者 | Zhu, Ke1 ; Li, Wai Keung2
|
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2015-07-01 |
| 卷号 | 187期号:1页码:113-130 |
| 关键词 | Block-wise random weighting method Diagnostic checking Least squares estimation Spectral test Weak ARMA models Wild bootstrap |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/j.jeconom.2015.02.005 |
| 英文摘要 | This paper proposes a Cramer-von Mises (CM) test statistic to check the adequacy of weak ARMA models. Without posing a martingale difference assumption on the error terms, the asymptotic null distribution of the CM test is obtained. Moreover, this CM test is consistent, and has nontrivial power against the local alternative of order n(-1/2). Due to the unknown dependence of error terms and the estimation effects, a new block-wise random weighting method is constructed to bootstrap the critical values of the test statistic. The new method is easy to implement and its validity is justified. The theory is illustrated by a small simulation study and an application to S&P 500 stock index. (C) 2015 Elsevier B.V. All rights reserved. |
| 资助项目 | Research Grants Council of the Hong Kong SAR Government, GRF grant[HKU703711P] ; National Natural Science Foundation of China[11201459] ; Academy of Mathematics and Systems Science, CAS[2014-cjrwlzx-zk] ; Key Laboratory of RCSDS, CAS |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000356194000008 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/19945]  |
| 专题 | 国家数学与交叉科学中心 |
| 通讯作者 | Li, Wai Keung |
| 作者单位 | 1.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhu, Ke,Li, Wai Keung. A bootstrapped spectral test for adequacy in weak ARMA models[J]. JOURNAL OF ECONOMETRICS,2015,187(1):113-130. |
| APA | Zhu, Ke,&Li, Wai Keung.(2015).A bootstrapped spectral test for adequacy in weak ARMA models.JOURNAL OF ECONOMETRICS,187(1),113-130. |
| MLA | Zhu, Ke,et al."A bootstrapped spectral test for adequacy in weak ARMA models".JOURNAL OF ECONOMETRICS 187.1(2015):113-130. |
入库方式： OAI收割
来源：数学与系统科学研究院
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