The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models

DOI10.1111/j.1467-9892.2005.00418.xzbMath1090.62093OpenAlexW2149070074MaRDI QIDQ5467616

Yue Fang

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00418.x

zbMATH Keywords

goodness-of-fit testsmaximum likelihoodresidual autocorrelationpartial autocorrelationconditional least squaresautoregressive-moving average model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Cites Work

• Unnamed Item
• Finite sample properties of estimators for autoregressive moving average models
• Generalized Least Squares with Misspecified Serial Correlation Structures
• Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model

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