Distribution-free tests for time series models specification
From MaRDI portal
Publication:2630201
DOI10.1016/j.jeconom.2009.09.022zbMath1431.62363OpenAlexW1996508528MaRDI QIDQ2630201
Miguel A. Delgado, Carlos Velasco
Publication date: 25 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/9070
specification testsoptimal teststime series modelsdynamic regression modelresiduals autocorrelation function
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (2)
An updated review of goodness-of-fit tests for regression models ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Distribution free goodness-of-fit tests for linear processes
- Inference For Autocorrelations Under Weak Assumptions
- On a Theorem of Pitman
- Distribution-free specification tests for dynamic linear models
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- On a measure of lack of fit in time series models
- Efficient Tests of Nonstationary Hypotheses
- Testing That a Dependent Process Is Uncorrelated
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- An exponential model for the spectrum of a scalar time series
- A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
This page was built for publication: Distribution-free tests for time series models specification