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Distribution-free tests for time series models specification


Delgado, Miguel A.; Velasco, Carlos


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-267987

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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]
Klassifikation Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Freie Schlagwörter Optimal tests; Residuals autocorrelation function; Specification tests; Time series models; Dynamic regression model;
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 128-137
Zeitschriftentitel Journal of Econometrics, 155 (2009) 2
DOI http://dx.doi.org/10.1016/j.jeconom.2009.09.022
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)