Empirical Processes for Infinite Variance Autoregressive Models

The paper proposes new procedures for diagnostic checking of fitted models under the assumption of infinite-variance errors which are in the domain of attraction of a stable law. These procedures are functional of residual-based empirical processes. First, the asymptotic distributions of the empirical processes based on residuals are derived. Then two important applications in time series diagnostics are discussed. A Goodness-of-fit test is developed using a functional of the empirical process based on residuals. Tests of independence of innovations are also considered. The finite-sample behavior of these tests are studied by simulation and comparison with the classical Portmanteau tests for ARMA models with infinite-variance developed recently by Lin and McLeod (2008) is provided