Distribution-free tests for time series models specification

Delgado, Miguel A.; Velasco, Carlos

[journal article]

dc.contributor.author	Delgado, Miguel A.	de
dc.contributor.author	Velasco, Carlos	de
dc.date.accessioned	2011-10-01T02:50:00Z	de
dc.date.accessioned	2012-08-30T06:51:21Z
dc.date.available	2012-08-30T06:51:21Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/26798
dc.description.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]	en
dc.language	en	de
dc.subject.ddc	Sozialwissenschaften, Soziologie	de
dc.subject.ddc	Social sciences, sociology, anthropology	en
dc.subject.other	Optimal tests; Residuals autocorrelation function; Specification tests; Time series models; Dynamic regression model;
dc.title	Distribution-free tests for time series models specification	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Econometrics	de
dc.source.volume	155	de
dc.source.issue	2	de
dc.subject.classoz	Erhebungstechniken und Analysetechniken der Sozialwissenschaften	de
dc.subject.classoz	Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods	en
dc.identifier.urn	urn:nbn:de:0168-ssoar-267987	de
dc.date.modified	2011-10-06T10:25:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	128-137
internal.identifier.classoz	10105
internal.identifier.journal	195	de
internal.identifier.document	32
internal.identifier.ddc	300
dc.identifier.doi	https://doi.org/10.1016/j.jeconom.2009.09.022	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods

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