RT Generic
T1 A new class of distribution-free tests for time series models specification
A1 Delgado, Miguel A.
A1 Velasco, Carlos
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB The construction of asymptotically distribution free time series model specification tests usingas statistics the estimated residual autocorrelations is considered from a general view point. Wefocus our attention on Box-Pierce type tests based on the sum of squares of a few estimatedresidual autocorrelations. This type of tests belong to the class defined by quadratic forms ofweighted residual autocorrelations, where weights are suitably transformed resulting inasymptotically distribution free tests. The weights can be optimally chosen to maximize thepower function when testing in the direction of local alternatives. The optimal test in this classagainst MA, AR or Bloomfield alternatives is a Box-Pierce type test based on the sum ofsquares of a few transformed residual autocorrelations. Such transformations are, in fact, therecursive residuals in the projection of the residual autocorrelations on a certain score function.
SN 2340-5031
YR 2009
FD 2009-02
LK https://hdl.handle.net/10016/3659
UL https://hdl.handle.net/10016/3659
LA eng
DS e-Archivo
RD 1 sept. 2024