Zhu, Ke
(2015):
*Bootstrapping the portmanteau tests in weak auto-regressive moving average models.*

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## Abstract

This paper uses a random weighting (RW) method to bootstrap the critical values for the Ljung-Box/Monti portmanteau tests and weighted Ljung-Box/Monti portmanteau tests in weak ARMA models. Unlike the existing methods, no user-chosen 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 block-wise RW method is also studied.

Item Type: | MPRA Paper |
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Original Title: | Bootstrapping the portmanteau tests in weak auto-regressive 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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Forthcoming in Journal of the American Statistical Association. |

URI: | https://mpra.ub.uni-muenchen.de/id/eprint/61930 |