Cookies?
Library Header Image
LSE Research Online LSE Library Services

A nonparametric test for weak dependence against strong cycles and its bootstrap analogue

Hidalgo, Javier (2007) A nonparametric test for weak dependence against strong cycles and its bootstrap analogue. Journal of Time Series Analysis, 28 (3). pp. 307-349. ISSN 0143-9782

Full text not available from this repository.

Abstract

We examine a test for the hypothesis of weak dependence against strong cyclical components. We show that the limiting distribution of the test is a Gumbel distribution, denoted G(·). However, since G(·) may be a poor approximation to the finite sample distribution, being the rate of the convergence logarithmic [see Hall Journal of Applied Probability (1979), Vol. 16, pp. 433–439], inferences based on G(·) may not be very reliable for moderate sample sizes. On the other hand, in a related context, Hall [Probability Theory and Related Fields (1991), Vol. 89, pp. 447–455] showed that the level of accuracy of the bootstrap is significantly better. For that reason, we describe an approach to bootstrapping the test based on Efron's [Annals of Statistics (1979), Vol. 7, pp. 1–26] resampling scheme of the data. We show that the bootstrap principle is consistent under very mild regularity conditions.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information: © 2007 John Wiley & Sons, Inc
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C0 - General
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 20 Apr 2011 07:54
URL: http://eprints.lse.ac.uk/35791/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only