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Diagnostic checking in linear processes with infinit variance

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  • Krämer, Walter
  • Runde, Ralf

Abstract

We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable normalization, is not always more concentrated around zero when residuals rather than true innovations are employed.

Suggested Citation

  • Krämer, Walter & Runde, Ralf, 1998. "Diagnostic checking in linear processes with infinit variance," Technical Reports 1998,08, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199808
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    References listed on IDEAS

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    1. 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.
    2. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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