A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION

DOI10.1111/j.1467-9892.1992.tb00104.xzbMath0746.62089OpenAlexW2076449839MaRDI QIDQ4012948

Douglas M. Patterson, Melvin J. Hinich

Publication date: 27 September 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00104.x

zbMATH Keywords

time seriesmixing conditionmartingale differencelarge-sample resultsfinancial seriesdiagnostic checksdiscrete-time random processincrement processcumulant functionsfitted residuals for signs of model inadequacymartingale criterionmodified sample bispectrumtwo-dimensional portmanteau test of serial dependencewhite noise criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Generalized spectral tests for the martingale difference hypothesis ⋮ Testing for dependence in the input to a linear time series model ⋮ Rank-based tests for autoregressive against bilinear serial dependence ⋮ Falsifying ARCH/GARCH Models Using Bispectral Based Tests

Cites Work

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• Asset Prices in an Exchange Economy
• Estimation of the Bispectrum

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