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Distribution-free tests for time series models specification
[journal article]
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... view more
"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]... view less
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
DOI
https://doi.org/10.1016/j.jeconom.2009.09.022
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)