Zhu, Ke (2015): Bootstrapping the portmanteau tests in weak autoregressive moving average models.

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Abstract
This paper uses a random weighting (RW) method to bootstrap the critical values for the LjungBox/Monti portmanteau tests and weighted LjungBox/Monti portmanteau tests in weak ARMA models. Unlike the existing methods, no userchosen parameter is needed to implement the RW method. As an application, these four tests are used to check the model adequacy in power GARCH models. Simulation evidence indicates that the weighted portmanteau tests have the power advantage over other existing tests. A real example on S&P 500 index illustrates the merits of our testing procedure. As one extension work, the blockwise RW method is also studied.
Item Type:  MPRA Paper 

Original Title:  Bootstrapping the portmanteau tests in weak autoregressive moving average models 
Language:  English 
Keywords:  Bootstrap method; Portmanteau test; Power GARCH models; Random weighting approach; Weak ARMA models; Weighted portmanteau test. 
Subjects:  C  Mathematical and Quantitative Methods > C0  General C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  61930 
Depositing User:  Dr. Ke Zhu 
Date Deposited:  08 Feb 2015 02:11 
Last Modified:  28 Sep 2019 04:56 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/61930 