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

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dc.contributor.author Velasco, Carlos
dc.contributor.author Xuexin, Wang
dc.date.accessioned 2015-02-24T17:32:30Z
dc.date.issued 2015-01-01
dc.identifier.bibliographicCitation Velasco, C. and X. Wang. A joint portmanteau test for conditional mean and variance time series models. Journal of Time Series Analysis, 2015, 36, 39-60
dc.identifier.issn 0143-9782
dc.identifier.uri http://hdl.handle.net/10016/20096
dc.description.abstract In 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.
dc.description.sponsorship Research support from the Spanish Plan Nacional de I+D+I (ECO2012-31748) is gratefully acknowledged
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Wiley
dc.rights © Wiley Publishing Ltd
dc.subject.other Model diagnostic checking
dc.subject.other Portmanteau statistic
dc.subject.other Estimation effect
dc.subject.other GARCH model specification testing
dc.subject.other Residual serial correlation
dc.title A joint portmanteau test for conditional mean and variance time-series models
dc.type article
dc.description.status Publicado
dc.relation.publisherversion dx.doi.org/10.1111/jtsa.12091
dc.identifier.doi 10.1111/jtsa.12091
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. 2013/00049/001
dc.relation.projectID Gobierno de España. ECO2012-31748
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 39
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 60
dc.identifier.publicationtitle Journal of time series analysis
dc.identifier.publicationvolume 36
dc.identifier.uxxi AR/0000016076
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