Generalized runs tests for the IID hypothesis

被引：12

作者：

Cho, Jin Seo ^{[2
]}

White, Halbert ^{[1
]}

机构：

[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

[2] Yonsei Univ, Sch Econ, Seoul 120749, South Korea

来源：

JOURNAL OF ECONOMETRICS | 2011年 / 162卷 / 02期

关键词：

IID condition; Runs test; Geometric distribution; Gaussian process; Dependence; Structural break; OF-FIT TESTS; NUISANCE PARAMETER; ASYMPTOTIC THEORY; CONSISTENT; GOODNESS; INDEPENDENCE; CONVERGENCE; RANDOMNESS; CONSTANCY; CUSUM;

D O I：

10.1016/j.jeconom.2011.02.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide a family of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to tests designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels. Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：326 / 344

页数：19

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