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

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URI: http://hdl.handle.net/10016/5817
ISSN: 2340-5031
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we9202.PDF (1.24 MB)
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1992-01
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In 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.
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AR,MA models, Ranks, Goodness-of-fit
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DE - Working Papers. Economics. WE
Economists Online