Results 11 to 20 of about 1,040 (238)
Mixed Portmanteau Test for Diagnostic Checking of Time Series Models [PDF]
Journal of Applied Mathematics, 2014 Model criticism is an important stage of model building and thus goodness of fit tests provides a set of tools for diagnostic checking of the fitted model. Several tests are suggested in literature for diagnostic checking. These tests use autocorrelation
Sohail Chand, Shahid Kamal
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Generalized Portmanteau Tests Based on Subspace Methods
Revista Colombiana de Estadística, 2013 The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and their asymptotic distributions are derived under the null hypothesis.
ALFREDO GARCÍA-HIERNAUX
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Bootstrapping a powerful mixed portmanteau test for time series. [PDF]
J Appl Stat, 2022 A new portmanteau test statistic is proposed for detecting nonlinearity in time series data. In this paper, we elaborate on the Toeplitz autocorrelation matrix to the autocorrelation and cross-correlation of residuals and squared residuals block matrix.
Mahdi E, Fisher TJ.
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Improved multivariate portmanteau test [PDF]
Journal of Time Series Analysis, 2011 A new portmanteau diagnostic test for vector autoregressive moving average (VARMA) models that is based on the determinant of the standardized multivariate residual autocorrelations is derived. The new test statistic may be considered an extension of the univariate portmanteau test statistic suggested byPeňa and Rodríguez (2002).
Mahdi, Esam, McLeod, A. Ian
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A low-dimension portmanteau test for non-linearity [PDF]
Journal of Econometrics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jennifer Castle, David Hendry
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A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS [PDF]
Econometric Theory, 2019 Inoue and Solon (2006, Econometric Theory 22, 835–851) presented a test against serial correlation of arbitrary form in fixed-effect models for short panel data. Implementing the test requires choosing a regularization parameter that may severely affect power and for which no optimal selection rule is available.
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A Simple Test for Causality in Volatility
Econometrics, 2017 An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996).
Chia-Lin Chang, Michael McAleer
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E-Jurnal Matematika, 2014 The Arbitrage Pricing Theory (APT) is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors.
VIAN RISKA AYUNING TYAS +2 more
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Portmanteau tests for ARMA models with infinite variance [PDF]
Journal of Time Series Analysis, 2008 Abstract. Autoregressive and moving‐average (ARMA) models with stable Paretian errors are some of the most studied models for time series with infinite variance. Estimation methods for these models have been studied by many researchers but the problem of diagnostic checking of fitted models has not been addressed.
Lin, J.-W., McLeod, A. I.
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E-Jurnal Matematika, 2014 The volatilities of time series data often experience heteroscedastic problems. Heteroscedasticity is a nuisance variable in the regression equation having a variance that is not constant.
MADE ADI GUNAWAN +2 more
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