A Bootstrap-Based KPSS Test for Functional Time Series

Forthcoming in Journal of Multivariate Analysis

23 Pages Posted: 15 Dec 2018 Last revised: 21 Jul 2019

See all articles by Yichao Chen

Yichao Chen

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

Chi Seng Pun

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

Date Written: November 23, 2018

Abstract

In this study, we examine bootstrap methods to construct a generalized KPSS test for functional time series. Bootstrap-based functional testing provides an intuitive and efficient estimation of the distribution of the generalized KPSS test statistic and is capable of achieving non-trivial powers against many alternative hypotheses. We derive the asymptotic distribution of the simple bootstrap-based KPSS test statistic for functional time series, which proves the bootstrap validity on average. Simulation studies are then conducted to examine the performance of the proposed KPSS tests in small and moderate sample sizes. The results demonstrate that the bootstrap-based functional KPSS test has good empirical size and power. Moreover, its implementation is more efficient than the existing KPSS test for functional time series.

Keywords: Asymptotic validity, Bootstrap, Bootstrap validity on average, Functional time series, Kwiatkowski--Phillips--Schmidt--Shin (KPSS) tests, Moving block bootstrap

JEL Classification: C01, C22

Suggested Citation

Chen, Yichao and Pun, Chi Seng, A Bootstrap-Based KPSS Test for Functional Time Series (November 23, 2018). Forthcoming in Journal of Multivariate Analysis, Available at SSRN: https://ssrn.com/abstract=3289445 or http://dx.doi.org/10.2139/ssrn.3289445

Yichao Chen

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences ( email )

S3 B2-A28 Nanyang Avenue
Singapore, 639798
Singapore

Chi Seng Pun (Contact Author)

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences ( email )

SPMS-MAS-05-22
21 Nanyang Link
Singapore, 637371
Singapore
(+65) 6513 7468 (Phone)

HOME PAGE: http://personal.ntu.edu.sg/cspun/

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