Library Header Image
LSE Research Online LSE Library Services

Bootstrap tests for simple structures in nonparametric time series regression

Kreiss, Jens-Peter, Neumann, Michael H. and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2008) Bootstrap tests for simple structures in nonparametric time series regression. Statistics and Its Interface, 1 (2). pp. 367-380. ISSN 1938-7997

Download (311kB) | Preview


This paper concerns statistical tests for simple structures such as parametric models, lower order models and additivity in a general nonparametric autoregression setting. We propose to use a modified L2-distance between the nonparametric estimator of regression function and its counterpart under null hypothesis as our test statistic which delimits the contribution from areas where data are sparse. The asymptotic properties of the test statistic are established, which indicates the test statistic is asymptotically equivalent to a quadratic form of innovations. A regression type resampling scheme (i.e. wild bootstrap) is adapted to estimate the distribution of this quadratic form. Further, we have shown that asymptotically this bootstrap distribution is indeed the distribution of the test statistics under null hypothesis. The proposed methodology has been illustrated by both simulation and application to German stock index data.

Item Type: Article
Official URL:
Additional Information: © 2008 The International Press
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 27 May 2009 14:17
Last Modified: 16 May 2024 00:43

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics