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]
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
-
Online-Ressource
- Language
-
Englisch
- Notes
-
Postprint
begutachtet (peer reviewed)
In: Journal of Econometrics ; 155 (2009) 2 ; 128-137
- Event
-
Veröffentlichung
- (where)
-
Mannheim
- (when)
-
2009
- Creator
-
Delgado, Miguel A.
Velasco, Carlos
- DOI
-
10.1016/j.jeconom.2009.09.022
- URN
-
urn:nbn:de:0168-ssoar-267987
- Rights
-
Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
14.08.2025, 10:53 AM CEST
Data provider
This object is provided by:
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Delgado, Miguel A.
- Velasco, Carlos
Time of origin
- 2009
Other Objects (12)
Distribution-free tests for time series models specification
A distribution-free test for outliers
A model specification test
A Model Specification Test
Specification tests indexed by bandwidths
Specification Tests Indexed by Bandwidths
Specification test on mixed logit models
Bootstrap Specification Tests for Diffusion Processes
Specification Tests Based on Artificial Regressions
Increasing the power of specification tests
Density and conditional distribution based specification analysis
A note on a specification test for time series models based on spectral density estimation
Distribution-free tests for time series models specification
A distribution-free test for outliers
A model specification test
A Model Specification Test
Specification tests indexed by bandwidths
Specification Tests Indexed by Bandwidths
Specification test on mixed logit models
Bootstrap Specification Tests for Diffusion Processes
Specification Tests Based on Artificial Regressions
Increasing the power of specification tests
Density and conditional distribution based specification analysis
A note on a specification test for time series models based on spectral density estimation
Distribution-free tests for time series models specification
A distribution-free test for outliers
A model specification test
A Model Specification Test
Specification tests indexed by bandwidths
Specification Tests Indexed by Bandwidths
Specification test on mixed logit models
Bootstrap Specification Tests for Diffusion Processes
Specification Tests Based on Artificial Regressions
Increasing the power of specification tests
Density and conditional distribution based specification analysis