A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
نویسندگان
چکیده
منابع مشابه
A Generalized Portmanteau Goodness-of- ̄t Test for Time Series Models
We present a goodness of ̄t test for time series models based on the discrete spectral average estimator. Unlike current tests of goodness of ̄t, the asymptotic distribution of our test statistic allows the null hypothesis to be either a short or long range dependence model. Our test is in the frequency domain, is easy to compute and does not require the calculation of residuals from the ̄tted mod...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2004
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466604202067