Diagnostic checking in linear processes with infinit variance

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.

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Year of publication:	1998
Authors:	Krämer, Walter ; Runde, Ralf
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

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Series:	Technical Report ; 1998,08
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	816122229 [GVK] hdl:10419/77139 [Handle] RePEc:zbw:sfb475:199808 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316482