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A joint portmanteau test for conditional mean and variance time-series models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorVelasco, Carlos
dc.contributor.authorXuexin, Wang
dc.date.accessioned2015-02-24T17:32:30Z
dc.date.issued2015-01-01
dc.description.abstractIn this article, we propose a new joint portmanteau test for checking the specification of parametric conditional mean and variance functions of linear and nonlinear time-series models. The use of a joint test is motivated for complete control of the asymptotic size since marginal tests for the conditional variance may lead to misleading conclusions when the conditional mean is misspecified. The new test is based on an asymptotically distribution-free transformation on the sample autocorrelations of both normalized residuals and squared normalized residuals. This makes it unnecessary to full detail the asymptotic properties of the estimates used to obtain residuals, which could be inefficient two-step ones, avoiding also choices of maximum lag parameters increasing with sample length to control asymptotic size. The robust versions of the new test also properly account for higher-order moment dependence at a reduced cost. The finitesample performance of the new test is compared with that of well-known tests through simulations.en
dc.description.sponsorshipResearch support from the Spanish Plan Nacional de I+D+I (ECO2012-31748) is gratefully acknowledgeden
dc.description.statusPublicadoes
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationVelasco, C. and X. Wang. A joint portmanteau test for conditional mean and variance time series models. Journal of Time Series Analysis, 2015, 36, 39-60en
dc.identifier.doi10.1111/jtsa.12091
dc.identifier.issn0143-9782
dc.identifier.publicationfirstpage39es
dc.identifier.publicationissue1es
dc.identifier.publicationlastpage60es
dc.identifier.publicationtitleJournal of time series analysisen
dc.identifier.publicationvolume36
dc.identifier.urihttps://hdl.handle.net/10016/20096
dc.identifier.uxxiAR/0000016076
dc.language.isoeng
dc.publisherWileyen
dc.relation.projectIDGobierno de España. 2013/00049/001es
dc.relation.projectIDGobierno de España. ECO2012-31748es
dc.relation.publisherversiondx.doi.org/10.1111/jtsa.12091es
dc.rights© Wiley Publishing Ltden
dc.rights.accessRightsopen accessen
dc.subject.otherModel diagnostic checkingen
dc.subject.otherPortmanteau statisticen
dc.subject.otherEstimation effecten
dc.subject.otherGARCH model specification testingen
dc.subject.otherResidual serial correlationen
dc.titleA joint portmanteau test for conditional mean and variance time-series modelsen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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