Distribution-free tests for time series models specification |
| |
Authors: | Miguel A. Delgado Carlos Velasco |
| |
Affiliation: | Departamento de Economía, Universidad Carlos III de Madrid, 28903 Getafe (Madrid), Spain |
| |
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. |
| |
Keywords: | C12 C14 C22 |
本文献已被 ScienceDirect 等数据库收录! |