کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555308 | 1478586 | 2005 | 43 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A parametric bootstrap test for cycles
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A parametric bootstrap test for cycles A parametric bootstrap test for cycles](/preview/png/9555308.png)
چکیده انگلیسی
The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi) Gaussian process G(Ï), Ïâ[0,1]. Because the covariance structure of G(Ï) is a complicated function of Ï and model dependent, to obtain the critical values (if possible) of maxÏâ[0,1]G(Ï) may be difficult. For this reason, we propose a bootstrap scheme in the frequency domain to circumvent the problem of obtaining (asymptotically) valid critical values. The proposed bootstrap can be regarded as an alternative procedure to existing bootstrap methods in the time domain such as the residual-based bootstrap. Finally, we illustrate the performance of the bootstrap test by a small Monte-Carlo experiment and an empirical example.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 129, Issues 1â2, NovemberâDecember 2005, Pages 219-261
Journal: Journal of Econometrics - Volume 129, Issues 1â2, NovemberâDecember 2005, Pages 219-261
نویسندگان
Violetta Dalla, Javier Hidalgo,