Advanced Search
MyIDEAS: Login

Nonparametric Bootstrap Tests for Independence of Generalized Errors

Contents:

Author Info

  • Zaichao Du

    ()
    (Indiana University)

Abstract

In this paper, we develop a general method of testing for independence when unobservable generalized errors are involved. Our method can be applied to testing for serial independence of generalized errors, and testing for independence between the generalized errors and observ- able covariates. The former can serve as a uni?ed approach to testing adequacy of time series models, as model adequacy often implies that the generalized errors obtained after a suitable transformation are independent and identically distributed. The latter is a key identi?cation assumption in many nonlinear economic models. Our tests are based on a classical sample dependence measure, the Hoe¤ding-Blum-Kiefer-Rosenblat-type empirical process applied to generalized residuals. We establish a uniform expansion of the process, thereby deriving an ex- plicit expression for the parameter estimation e¤ect, which causes our tests not to be nuisance parameter-free. To circumvent this problem, we propose a multiplier-type bootstrap to approx- imate the limit distribution. Our bootstrap procedure is computationally very simple as it does not require a reestimation of the parameters in each bootstrap replication. In a simulation study, we apply our method to test the adequacy of ARMA-GARCH and Hansen (1994) skewed t models, and document a good ?nite sample performance of our test. Finally, an empirical application to some daily exchange rate data highlights the merits of our approach.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.iub.edu/~caepr/RePEc/PDF/2009/CAEPR2009-023.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington in its series Caepr Working Papers with number 2009-023.

as in new window
Length: 26 pages
Date of creation: Dec 2009
Date of revision:
Handle: RePEc:inu:caeprp:2009-023

Contact details of provider:
Postal: Wylie Hall Room 105, Bloomington, IN 47405-6620
Phone: 812-855-1021
Fax: 812-855-3736
Email:
Web page: http://www.iub.edu/~caepr
More information through EDIRC

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:inu:caeprp:2009-023. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Center for Applied Economics and Policy Research).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.