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On Wavelet-Based Testing For Serial Correlation Of Unknown Form Using Fan's Adaptive Neyman Method, Shan Yao

Doctoral Dissertations

Test procedures for serial correlation of unknown form with wavelet methods are investigated in this dissertation. The new wavelet-based consistent test is motivated using Fan's (1996) canonical multivariate normal hypothesis testing model. In our framework, the test statistic relies on empirical wavelet coefficients of a wavelet-based spectral density estimator. We advocate the choice of the simple Haar wavelet function, since evidence demonstrates that the choice of the wavelet function is not critical. Under the null hypothesis of no serial correlation, the asymptotic distribution of a vector of empirical wavelet coefficients is derived, which is the multivariate normal distribution in the …