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

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dc.contributor.author Ferretti, Nélida E.
dc.contributor.author Kelmansky, Diana M.
dc.contributor.author Yohai, Víctor J.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2009-11-27T09:22:00Z
dc.date.available 2009-11-27T09:22:00Z
dc.date.issued 1992-01
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/5817
dc.description.abstract 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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 92-02
dc.subject.other AR,MA models
dc.subject.other Ranks
dc.subject.other Goodness-of-fit
dc.title A goodnes-of-fit test based on ranks for arma models
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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