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A goodnes-of-fit test based on ranks for arma models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorFerretti, Nélida
dc.contributor.authorKelmansky, Diana M.
dc.contributor.authorYohai, Víctor J.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned2009-11-27T09:22:00Z
dc.date.available2009-11-27T09:22:00Z
dc.date.issued1992-01
dc.description.abstractIn this paper we introduce a goodness-of-fit test based on ranks for ARMA models. The classical portmanteau statistic is generalized to a class of estimators based on ranks. The asymptotic distributions of the proposed statistics are derived. Simulation results suggest that the proposed statistics have good robustness properties for an adequate choice of the score functions.
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.urihttps://hdl.handle.net/10016/5817
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Economics
dc.relation.ispartofseries92-02
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherAR,MA models
dc.subject.otherRanks
dc.subject.otherGoodness-of-fit
dc.titleA goodnes-of-fit test based on ranks for arma models
dc.typeworking paper*
dspace.entity.typePublication
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