Diagnostic test for unstable autoregressive models

DOI10.1080/02331880601107023zbMath1116.62095OpenAlexW1965072053MaRDI QIDQ5758158

Eun-Hee Kim, Sangyeol Lee, Young-Jin Kim

Publication date: 3 September 2007

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880601107023

zbMATH Keywords

limiting distributionmodel checkingdiagnostic testsquared residualsunstable autoregressive modelLjung and Box test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Trimmed portmanteau test for linear processes with infinite variance

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• On predictive least squares principles
• Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
• On residual empirical processes of stochastic regression models with applications to time series
• Regression quantiles for unstable autoregressive models
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• On a measure of lack of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• A proposal for a residual autocorrelation test in linear models
• Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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