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

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Abstract
This paper proposes a Cramervon 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 blockwise 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.
Item Type:  MPRA Paper 

Original Title:  A bootstrapped spectral test for adequacy in weak ARMA models 
English Title:  A bootstrapped spectral test for adequacy in weak ARMA models 
Language:  English 
Keywords:  Blockwise random weighting method; Diagnostic checking; Least squares estimation; Spectral test; Weak ARMA models; Wild bootstrap. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  51224 
Depositing User:  Dr. Ke Zhu 
Date Deposited:  07 Nov 2013 02:59 
Last Modified:  02 Oct 2019 05:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/51224 