Testing nonparametric and semiparametric hypotheses in vector stationary processes

Authors:
Michael Eichler
Affiliations:
Department of Quantitative Economics, University of Maastricht, P.O. Box 616, 6200 MD Maastricht, The Netherlands
Venue:
Journal of Multivariate Analysis
Year:
2008

Citing 4
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Abstract

We propose a general nonparametric approach for testing hypotheses about the spectral density matrix of multivariate stationary time series based on estimating the integrated deviation from the null hypothesis. This approach covers many important examples from interrelation analysis such as tests for noncorrelation or partial noncorrelation. Based on a central limit theorem for integrated quadratic functionals of the spectral matrix, we derive asymptotic normality of a suitably standardized version of the test statistic under the null hypothesis and under fixed as well as under sequences of local alternatives. The results are extended to cover also parametric and semiparametric hypotheses about spectral density matrices, which includes as examples goodness-of-fit tests and tests for separability.