منابع مشابه
Mixed Portmanteau Tests for Time-series Models
This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply approximated by the sum of well-known portmanteau statistics. The finite-sample performance of the new test...
متن کاملPortmanteau Likelihood Ratio Tests for Model Selection
This paper provides an extension of Vuong’s (1989, Econometrica, 57, pp.307–333) model selection test to the multivariate case. We use the Kullback–Leibler Information Criterion (KLIC) to measure the closeness of a model to the truth to provide a diagnosis of many competing models where the models are not correctly specified. After investigating the asymptotic joint distribution of the likeliho...
متن کاملOn the power of Portmanteau serial correlation tests
This paper studies properties of the portmanteau statistic proposed by Box and Pierce [1] and its modification of Ljung and Box [2]. We show that these portmanteau statistics are feasible analogs to optimal tests for the class of statistics which are linear combinations of consistent estimates of serial correlations. We find, however, that for sample sizes commonly encountered in practice, the ...
متن کاملPortmanteau Tests for Arma Models with Infinite Variance
Autoregressive and moving-average (ARMA) models with stable Paretian errors is one of the most studied models for time series with infinite variance. Estimation methods for these models have been studied by many researchers but the problem of diagnostic checking fitted models has not been addressed. In this paper, we develop portmanteau tests for checking randomness of a time series with infini...
متن کاملCorrected portmanteau tests for VAR models with time-varying variance
The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is studied. The volatility structure is deterministic but time-varying and allows for changes that are commonly observed in economic or financial multivariate series such as breaks or smooth transitions. Our analysis is based on the residual autocovariances and autocorrelations obtai...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2009
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2009.00621.x