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A parametric bootstrap test for cycles

Dalla, Violetta and Hidalgo, Javier (2005) A parametric bootstrap test for cycles. Econometrics Paper (EM/2005/486). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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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:
Additional Information: © 2005 The Authors
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: 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
Date Deposited: 09 Jul 2008 13:30
Last Modified: 15 Sep 2023 23:03

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