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Distribution-free tests for time series models specification

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Delgado, Miguel A.; Velasco, Carlos

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Abstract "We consider a class of time series specification tests based on quadratic forms of weighted sums of residuals autocorrelations. Asymptotically distribution-free tests in the presence of estimated parameters are obtained by suitably transforming the weights, which can be optimally chosen to maximize the power function when testing in the direction of local alternatives. We discuss in detail an asymptotically optimal distribution-free alternative to the popular Box–Pierce when testing in the direction of AR or MA alternatives. The performance of the test with small samples is studied by means of a Monte Carlo experiment." [author's abstract]
Classification Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Free Keywords Optimal tests; Residuals autocorrelation function; Specification tests; Time series models; Dynamic regression model;
Document language English
Publication Year 2009
Page/Pages p. 128-137
Journal Journal of Econometrics, 155 (2009) 2
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)