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A Generalized Portmanteau Goodness-Of-Fit Test For Time Series Models

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  • Chen, Willa W.
  • Deo, Rohit S.

Abstract

We present a goodness-of-fit test for time series models based on the discrete spectral average estimator. Unlike current tests of goodness of fit, the asymptotic distribution of our test statistic allows the null hypothesis to be either a short- or long-range dependence model. Our test is in the frequency domain, is easy to compute, and does not require the calculation of residuals from the fitted model. This is especially advantageous when the fitted model is not a finite-order autoregressive model. The test statistic is a frequency domain analogue of the test by Hong (1996, Econometrica 64, 837 864), which is a generalization of the Box and Pierce (1970, Journal of the American Statistical Association 65, 1509 1526) test statistic. A simulation study shows that our test has power comparable to that of Hong s test and superior to that of another frequency domain test by Milhoj (1981, Biometrika 68, 177 187).

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 20 (2004)
Issue (Month): 02 (April)
Pages: 382-416

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Handle: RePEc:cup:etheor:v:20:y:2004:i:02:p:382-416_20

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Cited by:
  1. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.
  2. Chen, Willa W. & Deo, Rohit S., 2006. "Estimation of mis-specified long memory models," Journal of Econometrics, Elsevier, vol. 134(1), pages 257-281, September.
  3. Laura Mayoral, 2006. "Minimum distance estimation of stationary and non-stationary ARFIMA processes," Economics Working Papers 959, Department of Economics and Business, Universitat Pompeu Fabra.
  4. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Hannover Economic Papers (HEP) dp-317, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  5. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  6. Deo, Rohit S. & Chen, Willa W., 2003. "Estimation of Mis-Specified Long Memory Models," Papers 2004,03, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  7. Terence Tai-Leung Chong, 2007. "Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter," Economics Bulletin, AccessEcon, vol. 3(67), pages 1-10.
  8. Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
  9. repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS
  10. repec:wyi:journl:002087 is not listed on IDEAS

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