|
Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Investigación >
Departamentos >
Departamento de Economía >
DE - Otros documentos >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/4375
|
| Title: | Distribution free goodness-of-fit tests for linear processes |
| Author(s): | Delgado, Miguel A. [delgado]
Hidalgo, Javier
Velasco, Carlos [cavelas] |
| Publisher: | London School of Economics |
| Issued date: | Jan-2005 |
| URI: | http://hdl.handle.net/10016/4375 |
| 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. |
| Serie / Nº.: | Econometrics
EM/2005/482 |
| Publisher version: | http://sticerd.lse.ac.uk/dps/em/em482.pdf |
| Subject: | Nonparametric model checking
Spectral distribution
Linear processes
Martingale decomposition
Local alternatives
Omnibus, smooth and directional tests
Long-range alternatives |
| Appears in Collections: | Economists Online
DE - Otros documentos
|
Items in E-Archivo are protected by copyright, with all rights reserved, unless otherwise indicated.
|
