A New Class of Distribution-free Tests for Time Series Models Specification∗
نویسندگان
چکیده
The construction of asymptotically distribution free time series models specification tests based on estimated residual autocorrelations is considered from a general view point. Test statistics are weighted sums of the estimated residual autocorrelations, and have an asymptotic standard normal distribution when the specification is correct, despite of the estimated parameters effect. The weights can be optimally chosen to maximize the power function when testing in the direction of local alternatives, and the resulting efficient tests in this class are asymptotically equivalent to the Lagrange Multiplier tests in parametric testing. In particular, when testing that the innovations ∗Research funded by the Spanish Ministerio de Educación y Ciencia reference number SEJ200404583/ECON .
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