Distribution free goodness-of-fit tests for linear processes

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 School of Economics and Political Science, London, UK.

Preview

PDF Download (529Kb) | Preview

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)
Official URL:	http://sticerd.lse.ac.uk
Additional Information:	© 2005 Miguel A.Delgado, Javier Hidalgo and Carlos Velasco
Uncontrolled Keywords:	Nonparametric model checking; spectral distribution; linear processes; martingale decomposition; local alternatives; omnibus, smooth and directional tests; long-range alternatives
Library of Congress subject classification:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
Journal of Economic Literature Classification System:	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
Sets:	Collections > Economists Online Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
Identification Number:	482
URL:	http://eprints.lse.ac.uk/6840/

Actions (login required)

Record administration - authorised staff only