报告题目：Bootstrapping the spectral test on adequacy check of weak VAR models

报 告 人：李木易 教授

所在单位：厦门大学

报告时间：2022年9月7日 星期三 14:00-15:00

报告地点：腾讯会议422-536-634

校内联系人：朱复康 fzhu@jlu.edu.cn

报告摘要：We propose a Cramer-von Mises (CM) statistics for the adequacy check of weak VAR models, in which the errors are assumed to be uncorrelated but not necessarily independent. The test statistics is constructed based on the distance between the sample periodogram of residuals and a constant. In contrast to Ljung-Box-Pierce portmanteau tests in the time domain, which use the first m lags of sample correlations of residuals, the spectral tests employ correlations of infinite lags, therefore they can detect the linearility beyond m lags. We study the asymptotic null distribution of the test statistics as well as the asymptotic power against the Pitman's local alternatives. We further employ a blockwise random weighting bootstrap method to approximate critical values of the test, and justify its first-order validity. The effectiveness of the testing procedure is demonstrated via both Monte Carlo simulations and a real example analysis.

报告人简介：李木易，2011年获得香港大学统计学博士，现任厦门大学王亚南经济研究院(WISE)与经济学院统计学与数据科学系双聘教授,博士生导师。主要研究方向为时间序列分析，长记忆过程，资产波动率建模，模型检验等。担任中国概率统计学会第十一届理事，全国工业统计学教学研究会青年统计学家协会第一届理事，主持（含已完成）国家自然科学基金3项，教育部计量经济学重点实验室（厦门大学）实验教学项目等，参与国家自科重点项目、国家社会重大项目。主讲中国大学慕课《时间序列分析》。获厦门大学2019年教学比赛翻转课堂二等奖。为 Journal of Econometrics, Journal of Time Series Analysis, Statistics Sinica等期刊匿名审稿人。