Diagnostic checking using subspace methods

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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Year of publication:	2009
Authors:	García-Hiernaux, Alfredo
Institutions:	Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
Subject:	Diagnostic checking \| portmanteau tests \| subspace methods

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Extent:	application/pdf
Series:	Documentos de Trabajo del ICAE.
Type of publication:	Book / Working Paper
Language:	English
Notes:	22 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005057518