A Random Walk Test for Functional Time Series

Nicola Mingotti, Rosa Elvira Lillo Rodríguez and Juan Romo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we introduce a Random Walk test for Functional Autoregressive Processes of Order One. The test is non parametric, based on Bootstrap and Functional Principal Components. The power of the test is shown through an extensive Montecarlo simulation. We apply the test to two real dataset, Bitcoin prices and electrical energy consumption in France.

Keywords: FAR(1); Principal; Components; Bootstrap; Autoregressive; Process; Unit; root; Computational; Statistics; Hypothesis; test (search for similar items in EconPapers)
Date: 2015-04-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws1506

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