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Diagnostic checking using subspace methods

  • Alfredo García-Hiernaux

    ()

The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the multivariate case. The performance of the proposals is illustrated via Monte Carlo simulations and an example with real data.

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File URL: http://eprints.ucm.es/8589/1/0903.pdf
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Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico in its series Documentos de Trabajo del ICAE with number 0901.

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Length: 22 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:ucm:doicae:0901
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