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弱白噪声假设的稳健自适应速率最优检验AI 解读

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007) are used, allowing for estimation of the error term. The data-driven order selection is tailored to detect a new class of alternatives with autocorrelation coefficients which can be…

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动态回归模型的数据驱动非参数设定检验AI 解读

The paper introduces a new nonparametric specification test for dynamic regression models. The test combines chi-square statistics based on Fourier series regression. A data-driven choice of the regression order, which uses the square root of the number of Fourier coefficients, is proposed. The benefits of the new test are (1) the selection procedure produces explicit and chi-square critical values that give a finite-sample size close to the nominal size; (2) the test is…

随机游走水平穿越次数的极限分布与简单单位根检验AI 解读

We derive the limit distribution of the number of crossings of a level by a random walk with continuously distributed increments, using a Brownian motion local time approximation. This complements the well-known result for the random walk on the integers. Use of the frequency of level crossings to test for a unit root is examined.