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Bootstrap tests for simple structures in nonparametric time series regression

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  • Kreiss, Jens-Peter
  • Neumann, Michael H.
  • Yao, Qiwei

Abstract

This paper concerns statistical tests for simple structures such as parametric models, lower order models and additivity in a general nonparametric autoregression setting. We propose to use a modified L2-distance between the nonparametric estimator of regression function and its counterpart under null hypothesis as our test statistic which delimits the contribution from areas where data are sparse. The asymptotic properties of the test statistic are established, which indicates the test statistic is asymptotically equivalent to a quadratic form of innovations. A regression type resampling scheme (i.e. wild bootstrap) is adapted to estimate the distribution of this quadratic form. Further, we have shown that asymptotically this bootstrap distribution is indeed the distribution of the test statistics under null hypothesis. The proposed methodology has been illustrated by both simulation and application to German stock index data.

Suggested Citation

  • Kreiss, Jens-Peter & Neumann, Michael H. & Yao, Qiwei, 2008. "Bootstrap tests for simple structures in nonparametric time series regression," LSE Research Online Documents on Economics 24135, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:24135
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    References listed on IDEAS

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    1. Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999. "Nonparametric Autoregression with Multiplicative Volatility and Additive mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
    2. Hjellvik, V. & Yao, Q. & Tjostheim, D., 1996. "Linearity Testing using Local Polynomial Approximation," SFB 373 Discussion Papers 1996,60, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Hjellvik, Vidar & Yao, Qiwei & Tjostheim, Dag, 1998. "Linearity testing using local polynominal approximation," LSE Research Online Documents on Economics 6638, London School of Economics and Political Science, LSE Library.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
    2. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
    3. Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010. "Combining Nonparametric and Optimal Linear Time Series Predictions," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
    4. Cai, Zongwu & Ren, Yu & Yang, Bingduo, 2015. "A semiparametric conditional capital asset pricing model," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 117-126.
    5. Fengler, M.R. & Mammen, E. & Vogt, M., 2015. "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, vol. 188(1), pages 196-218.
    6. João Barata R. B. Barroso, 2014. "Behavioral Models of the Foreign Exchange Market: is there any empirical content?," Working Papers Series 364, Central Bank of Brazil, Research Department.
    7. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    8. Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
    9. Mammen, Enno & Van Keilegom, Ingrid & Yu, Kyusang, 2013. "Expansion for Moments of Regression Quantiles with Applications to Nonparametric Testing," LIDAM Discussion Papers ISBA 2013027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    10. Shimizu, Kenichi, 2014. "Bootstrapping the nonparametric ARCH regression model," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 61-69.

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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