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Multifrequency-Band Tests for White Noise Under Heteroscedasticity

This article proposes a new family of multifrequency-band tests for the white noise hypothesis by using the maximum overlap discrete wavelet packet transform. At each scale, the proposed multifrequency-band test has the chi-square asymptotic null distribution under mild conditions, which allow the data to be heteroscedastic. Moreover, an automatic multifrequency-band test is further proposed by using a data-driven method to select the scale, and its asymptotic null distribution is chi-square with one degree of freedom. Both multifrequency-band and automatic multifrequency-band tests are shown to have the desirable size and power performance by simulation studies, and their usefulness is further illustrated by two applications. As an extension, similar tests are given to check the adequacy of linear time series regression models, based on the unobserved model residuals.

Ketersediaan

Informasi Detail

Judul Seri

JOURNAL OF BUSINESS AND ECONOMIC STATISTICS; Vol.40 No.2 April 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 799-814

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

HETEROSCEDASTICITY
WAVELETS
AUTOMATIC MULTIFREQUENCY-BAND TEST
MAXIMUM OVERLAP DISCRETE WAVELET PACKET TRANSFORM
MULTIFREQUENCY-BAND TESTS
TESTING FOR WHITE NOISE

Info Detail Spesifik

https://doi.org/10.1080/07350015.2020.1870478

Pernyataan Tanggungjawab

Mengya Liu, Fukang Zhu, Ke Zhu

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