Fourier-type tests involving martingale difference processes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10365264" target="_blank" >RIV/00216208:11320/17:10365264 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1080/07474938.2014.977074" target="_blank" >http://dx.doi.org/10.1080/07474938.2014.977074</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/07474938.2014.977074" target="_blank" >10.1080/07474938.2014.977074</a>
Alternative languages
Result language
angličtina
Original language name
Fourier-type tests involving martingale difference processes
Original language description
We develop testing procedures which detect if the observed time series is a martingale difference sequence. Furthermore, tests are developed that detect change-points in the conditional expectation of the series given its past. The test statistics are formulated following the approach of Fourier-type conditional expectations first proposed by Bierens(1982) and have the advantage of computational simplicity. The limit behavior of the test statistics is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test. The performance of the bootstrap version of the test is compared in finite samples with other methods for the same problem. A real-data application is also included.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Econometric Reviews
ISSN
0747-4938
e-ISSN
—
Volume of the periodical
36
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
25
Pages from-to
468-492
UT code for WoS article
000395174600004
EID of the result in the Scopus database
2-s2.0-84947907396