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Distribution Of Residual Autocorrelations In Nonstationary Autoregressive Processes

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  • Dong Wan Shin
  • Jong Hyup Lee

Abstract

. The residual autocorrelations in nonstationary autoregressive processes with autoregressive characteristic roots on the unit circle are considered. Limiting distributions of the residual autocovariances and the residual autocorrelations are shown to be the same as the limiting distributions when parameters are estimated with all roots on the unit circle known. The portmanteau statistic is shown to have a x2 limiting distribution. The Canadian lynx data set is analysed to illustrate our theory. The portmanteau test seems also useful when the characteristic roots are close to the unit circle.

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  • Dong Wan Shin & Jong Hyup Lee, 1996. "Distribution Of Residual Autocorrelations In Nonstationary Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(1), pages 105-109, January.
    • Handle: RePEc:bla:jtsera:v:17:y:1996:i:1:p:105-109
    DOI: 10.1111/j.1467-9892.1996.tb00267.x
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    Cited by:

    1. Ling, Shiqing & Zhu, Ke & Yee, Chong Ching, 2013. "Diagnostic checking for non-stationary ARMA models with an application to financial data," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 624-639.

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