Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
We propose a general bootstrap procedure to approximate the null distribution of nonparametric frequency domain tests about the spectral density matrix of a multivariate time series. Under a set of easy to verify conditions, we establish asymptotic validity of the proposed bootstrap procedure. We apply a version of this procedure together with a new statistic in order to test the hypothesis that the spectral densities of not necessarily independent time series are equal. The test statistic proposed is based on a L2-distance between the nonparametrically estimated individual spectral densities and an overall, 'pooled' spectral density, the later being obtained using the whole set of m time series considered. The effects of the dependence between the time series on the power behavior of the test are investigated. Some simulations are presented and a real-life data example is discussed.
Year of publication: |
2008
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Authors: | Dette, Holger ; Paparoditis, Efstathios |
Publisher: |
Dortmund : Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |
Saved in:
freely available
Series: | Technical Report ; 2008,28 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 600410013 [GVK] hdl:10419/36587 [Handle] RePEc:zbw:sfb475:200828 [RePEc] |
Source: |
Persistent link: https://www.econbiz.de/10010300667
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