Multi-frequency-band tests for white noise under heteroskedasticity

Mengya Liu, Fukan Zhu and Ke Zhu ()

Papers from arXiv.org

Abstract: This paper proposes a new family of multi-frequency-band (MFB) tests for the white noise hypothesis by using the maximum overlap discrete wavelet packet transform (MODWPT). The MODWPT allows the variance of a process to be decomposed into the variance of its components on different equal-length frequency sub-bands, and the MFB tests then measure the distance between the MODWPT-based variance ratio and its theoretical null value jointly over several frequency sub-bands. The resulting MFB tests have the chi-squared asymptotic null distributions under mild conditions, which allow the data to be heteroskedastic. The MFB tests are shown to have the desirable size and power performance by simulation studies, and their usefulness is further illustrated by two applications.

Date: 2020-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-gen
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2004.09161

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