Munich Personal RePEc Archive

A bootstrapped spectral test for adequacy in weak ARMA models

Zhu, Ke and Li, Wai-Keung (2013): A bootstrapped spectral test for adequacy in weak ARMA models.

[img]
Preview
PDF
MPRA_paper_51224.pdf

Download (224kB) | Preview

Abstract

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 by using the Hillbert space approach. 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.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.