Fourier-type tests involving martingale difference processes

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Fourier-type tests involving martingale difference processes

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Fourier-type tests involving martingale difference processes

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Econometric Reviews

ISSN

0747-4938

e-ISSN

—

Svazek periodika

36

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

25

Strana od-do

468-492

Kód UT WoS článku

000395174600004

EID výsledku v databázi Scopus

2-s2.0-84947907396