Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61276
Authors: 
Neumann, Michael H.
Paparoditis, Efstathios
Year of Publication: 
1998
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,58
Abstract: 
We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that this statistic behaves asymptotically as in the case of independent observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test.
Subjects: 
Bootstrap
stationary density
test
weak dependence
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
260.43 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.