A simple bootstrap test for time series regression models. (English) Zbl 1061.62048
Summary: We consider a simple bootstrap test for testing a parametric regression functional form with time-series dependent data. We establish the asymptotic validity of the wild bootstrap method. Monte Carlo simulations show that the bootstrap test performs well based on ‘wild bootstrap’ critical values.
MSC:
62F40 | Bootstrap, jackknife and other resampling methods |
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
62F03 | Parametric hypothesis testing |
62J05 | Linear regression; mixed models |
65C05 | Monte Carlo methods |
References:
[1] | DOI: 10.2307/2297498 · Zbl 0681.62101 · doi:10.2307/2297498 |
[2] | DOI: 10.2307/2938323 · Zbl 0737.62058 · doi:10.2307/2938323 |
[3] | DOI: 10.2307/2289774 · Zbl 0702.62037 · doi:10.2307/2289774 |
[4] | DOI: 10.1017/S0266466600013165 · doi:10.1017/S0266466600013165 |
[5] | DOI: 10.1017/S0266466600013153 · doi:10.1017/S0266466600013153 |
[6] | DOI: 10.1214/aos/1176349403 · Zbl 0795.62036 · doi:10.1214/aos/1176349403 |
[7] | DOI: 10.1017/S0266466600008872 · doi:10.1017/S0266466600008872 |
[8] | DOI: 10.2307/2171724 · Zbl 0941.62125 · doi:10.2307/2171724 |
[9] | DOI: 10.1016/0304-4076(95)01760-7 · Zbl 0865.62030 · doi:10.1016/0304-4076(95)01760-7 |
[10] | DOI: 10.1016/S0304-4076(98)00081-5 · Zbl 1041.62506 · doi:10.1016/S0304-4076(98)00081-5 |
[11] | DOI: 10.1016/S0304-4076(98)00011-6 · Zbl 0943.62031 · doi:10.1016/S0304-4076(98)00011-6 |
[12] | DOI: 10.2307/2171881 · Zbl 0927.62085 · doi:10.2307/2171881 |
[13] | DOI: 10.2307/2171848 · Zbl 0854.62038 · doi:10.2307/2171848 |
[14] | DOI: 10.1080/10485259908832762 · Zbl 0974.62044 · doi:10.1080/10485259908832762 |
[15] | DOI: 10.1016/S0304-4076(98)00087-6 · Zbl 0929.62054 · doi:10.1016/S0304-4076(98)00087-6 |
[16] | DOI: 10.1214/aos/1013203462 · Zbl 1043.62032 · doi:10.1214/aos/1013203462 |
[17] | DOI: 10.1111/1468-0262.00207 · Zbl 1017.62012 · doi:10.1111/1468-0262.00207 |
[18] | DOI: 10.1093/biomet/82.2.351 · Zbl 0823.62044 · doi:10.1093/biomet/82.2.351 |
[19] | DOI: 10.1016/S0304-4076(02)00198-7 · Zbl 1027.62027 · doi:10.1016/S0304-4076(02)00198-7 |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.