A statistic to check model adequacy in time series

DOI10.1080/03610928808829872MaRDI QIDQ3474137zbMATH OpenOpenAlexFDO

Authors

Publication date 1988

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928808829872

zbMATH Keywords

constant variancemodel adequacytime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Diagnostic testing of univariate time series models
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Testing model adequacy for some Markov regression models for time series
• On goodness of fit for time series regression models
• Nonparametric model checks for time series

Cites work

• Bayesian analysis of some outlier problems in time series
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• On a measure of lack of fit in time series models

Cited in

(3)

• Checking model adequacy for count time series by using Pearson residuals
• Assessment of Model Adequacy for Markov Regression Time Series Models
• Testing model adequacy for some Markov regression models for time series

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