Article ID Journal Published Year Pages File Type
5096548 Journal of Econometrics 2011 12 Pages PDF
Abstract
To test for the white noise null hypothesis, we study the Cramér-von Mises test statistic that is based on the sample spectral distribution function. Since the critical values of the test statistic are difficult to obtain, we propose a blockwise wild bootstrap procedure to approximate its asymptotic null distribution. Using a Hilbert space approach, we establish the weak convergence of the difference between the sample spectral distribution function and the true spectral distribution function, as well as the consistency of bootstrap approximation under mild assumptions. Finite sample results from a simulation study and an empirical data analysis are also reported.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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