Distribution-free tests for time series models specification
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]
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
Postprint
begutachtet (peer reviewed)
In: Journal of Econometrics ; 155 (2009) 2 ; 128-137
- Ereignis
-
Veröffentlichung
- (wo)
-
Mannheim
- (wann)
-
2009
- Urheber
-
Delgado, Miguel A.
Velasco, Carlos
- DOI
-
10.1016/j.jeconom.2009.09.022
- URN
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urn:nbn:de:0168-ssoar-267987
- Rechteinformation
-
Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
14.08.2025, 10:53 MESZ
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Beteiligte
- Delgado, Miguel A.
- Velasco, Carlos
Entstanden
- 2009
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