Delgado, Miguel A., Hidalgo, Javier and Velasco, Carlos (2005) Distribution free goodness-of-fit tests for linear processes. EM (482). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett’s Tp-process with estimated parameters, which converges in distribution to the standard Brownian Motion under the null hypothesis. We discuss tests of different nature such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2005 Miguel A.Delgado, Javier Hidalgo and Carlos Velasco |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models |
| Date Deposited: | 09 Jul 2008 13:59 |
| Last Modified: | 16 Oct 2025 02:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/6840 |
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