Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation

DOI10.1080/07474938.2016.1140277OpenAlexW2331301420MaRDI QIDQ5864442

Chris Blakely, Tucker S. McElroy

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2016.1140277

zbMATH Keywords

trendseasonalitytime seriesSARIMA

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

A Review of Seasonal Adjustment Diagnostics

Uses Software

• iMetrica

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Goodness of fit tests for spectral distributions
• Signal extraction from nonstationary time series
• Distribution free goodness-of-fit tests for linear processes
• A local spectral approach for assessing time series model misspecification
• Time series: theory and methods.
• Asymptotic theory of statistical inference for time series
• Asymptotically optimal estimation in misspecified time series models
• A test of fit in time series models
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• On a measure of lack of fit in time series models
• Statistical Properties of Model-Based Signal Extraction Diagnostic Tests

This page was built for publication: Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation