Nonparametric model checks for time series
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This paper studies a class of tests useful for testing the goodness-of-fit of an autoregressive model. These tests are based on a class of empirical processes marked by certain residuals. The paper first gives their large sample behavior under the null hypotheses. Then a martingale transformation of the underlying process is given that makes tests based on it asymptotically distribution free. Consistency of these tests is also discussed briefly.
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Cited in
(only showing first 100 items - show all)- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
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- Testing for superiority among two time series
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- Stochastically weighted average conditional moment tests of functional form
- Jump‐robust testing of volatility functions in continuous time models
- Testing the martingale difference hypothesis in high dimension
- A class of minimum distance estimators in Markovian multiplicative error models
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