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A parametric bootstrap test for cycles

Dalla, Violetta and Hidalgo, Javier (2005) A parametric bootstrap test for cycles. EM, 486. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Abstract

The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian process G(τ), τ ∈ [0; 1]. Because the covariance structure of G(τ) is a complicated function of τ and model dependent, to obtain the critical values (if possible) of maxτ∈[0;1] G(τ) may be difficult. For this reason we propose a bootstrap scheme in the frequency domain to circumvent the problem of obtaining (asymptotically) valid critical values. The proposed bootstrap can be regarded as an alternative procedure to existing bootstrap methods in the time domain such as the residual-based bootstrap. Finally, we illustrate the performance of the bootstrap test by a small Monte Carlo experiment and an empirical example.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2005 Violetta Dalla and Javier Hidalgo
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 486
Date Deposited: 09 Jul 2008 13:30
URL: http://eprints.lse.ac.uk/6829/

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