A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations

We propose a simple asymptotically F-distributed portmanteau test for diagnostically checking whether the innovations in a parametric time series model are uncorrelated while allowing them to exhibit higher-order dependence of unknown forms. A transform of sample residual autocovariances removing th...

Celý popis

Podrobná bibliografia

Vydané v:	Journal of business & economic statistics Ročník 40; číslo 2; s. 505 - 521
Hlavní autori:	Wang, Xuexin, Sun, Yixiao
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Alexandria Taylor & Francis 03.04.2022 Taylor & Francis Ltd
Predmet:	F-distribution Fixed-smoothing asymptotics Model diagnostics Orthonormal series variance estimator Parameter estimation uncertainty Uncorrelated innovations
ISSN:	0735-0015, 1537-2707
On-line prístup:	Získať plný text
Tagy:	Pridať tag Žiadne tagy, Buďte prvý, kto otaguje tento záznam!