A nonparametric test for the stationary density

Michael H. Neumann and Efstathios Paparoditis

No 1998,58, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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.

Keywords: Bootstrap; stationary density; test; weak dependence (search for similar items in EconPapers)
Date: 1998
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