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Trimmed portmanteau test for linear processes with infinite variance

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  • Lee, Sangyeol
  • Tim Ng, Chi

Abstract

In this article, we consider a model check test for linear processes with infinite variance. As a test statistic, we employ the portmanteau test with trimmed residuals. It is shown that the limiting null distribution of the test is a chi-square distribution. Simulation results are provided for illustration.

Suggested Citation

  • Lee, Sangyeol & Tim Ng, Chi, 2010. "Trimmed portmanteau test for linear processes with infinite variance," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 984-998, April.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:4:p:984-998
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    References listed on IDEAS

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    1. Sangyeol Lee & Siyun Park, 2001. "The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(4), pages 625-644, December.
    2. Taewook Lee & Sangyeol Lee, 2009. "Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 157-170, March.
    3. J.‐W. Lin & A. I. McLeod, 2008. "Portmanteau tests for ARMA models with infinite variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 600-617, May.
    4. Runde, Ralf, 1997. "The asymptotic null distribution of the Box-Pierce Q-statistic for random variables with infinite variance an application to German stock returns," Journal of Econometrics, Elsevier, vol. 78(2), pages 205-216, June.
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    Cited by:

    1. Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.

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