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A goodnes-of-fit test based on ranks for arma models

Author

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  • Ferretti, Nélida
  • Kelmansky, Diana M.
  • Yohai, Víctor J.

Abstract

In this paper we introduce a goodness-of-fit test based on ranks for ARMA models. The classical portmanteau statistic is generalized to a class of estimators based on ranks. The asymptotic distributions of the proposed statistics are derived. Simulation results suggest that the proposed statistics have good robustness properties for an adequate choice of the score functions.

Suggested Citation

  • Ferretti, Nélida & Kelmansky, Diana M. & Yohai, Víctor J., 1992. "A goodnes-of-fit test based on ranks for arma models," UC3M Working papers. Economics 5817, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:5817
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    Keywords

    AR; MA models;

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