A new class of distribution-free tests for time series models specification
AbstractThe construction of asymptotically distribution free time series model specification tests using as statistics the estimated residual autocorrelations is considered from a general view point. We focus our attention on Box-Pierce type tests based on the sum of squares of a few estimated residual autocorrelations. This type of tests belong to the class defined by quadratic forms of weighted residual autocorrelations, where weights are suitably transformed resulting in asymptotically distribution free tests. The weights can be optimally chosen to maximize the power function when testing in the direction of local alternatives. The optimal test in this class against MA, AR or Bloomfield alternatives is a Box-Pierce type test based on the sum of squares of a few transformed residual autocorrelations. Such transformations are, in fact, the recursive residuals in the projection of the residual autocorrelations on a certain score function.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we090904.
Date of creation: Feb 2009
Date of revision:
Dynamic regression model; Optimal tests; Recursive residuals; Residual autocorrelation function; Specification tests; Time series models;
Other versions of this item:
- Miguel A. Delgado & Carlos Velasco, 2007. "A new class of distribution-free tests for time series models specification," Economics Working Papers we078047, Universidad Carlos III, Departamento de Economía.
- NEP-ALL-2009-02-28 (All new papers)
- NEP-ECM-2009-02-28 (Econometrics)
- NEP-ETS-2009-02-28 (Econometric Time Series)
- NEP-ORE-2009-02-28 (Operations Research)
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- Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005.
"Distribution free goodness-of-fit tests for linear processes,"
LSE Research Online Documents on Economics
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