An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking

DOI10.1198/JASA.2011.TM10226MaRDI QIDQ3111187zbMATHOpenAlexFDO

Authors Carlos I. Hoyos Velasco, Miguel Delgado

Publication date 18 January 2012

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/15032

zbMATH Keywords

local alternativeslong memoryrecursive residualshigher-order serial dependencenonlinear in variables models

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(14)

• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
• Robust adaptive rate-optimal testing for the white noise hypothesis
• Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
• A general approach to conditional moment specification testing with projections
• ARMA model checking with data-driven portmanteau tests
• An improved measure for lack of fit in time series models
• Testing discrete-valued time series for whiteness
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
• Tests for \(m\)-dependence based on sample splitting methods
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
• A bootstrapped spectral test for adequacy in weak ARMA models
• Extremal Dependence-Based Specification Testing of Time Series
• A max-correlation white noise test for weakly dependent time series

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