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A basic goodness-of-fit process fro VARMA (p,q) models

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  • Velilla Cerdan, Santiago
  • Nguyen, Huong

Abstract

This Working Paper presents some preliminary results for a new goodness-of- t method for VARMA(p,q) models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as an extension of a previously proposed technique in Ubierna and Velilla (2007). The limit behavior of this last random object is obtained as a consequence of a collection of asymptotic results that generalize those obtained previously in Hosking (1981) and Ubierna and Velilla (2007).

Suggested Citation

  • Velilla Cerdan, Santiago & Nguyen, Huong, 2011. "A basic goodness-of-fit process fro VARMA (p,q) models," DES - Working Papers. Statistics and Econometrics. WS ws111409, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws111409
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    References listed on IDEAS

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    1. Bénédicte Vidaillet & V. d'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    2. Helmut Lütkepohl, 2005. "New Introduction to Multiple Time Series Analysis," Springer Books, Springer, number 978-3-540-27752-1, March.
    3. Durlauf, Steven N., 1991. "Spectral based testing of the martingale hypothesis," Journal of Econometrics, Elsevier, vol. 50(3), pages 355-376, December.
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    1. Velilla Cerdan, Santiago & Nguyen, Huong, 2013. "A new goodness-of-fit process for varma (p,q) models: construction and empirical properties," DES - Working Papers. Statistics and Econometrics. WS 18886, Universidad Carlos III de Madrid. Departamento de Estadística.

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