Trimmed portmanteau test for linear processes with infinite variance

In this article, we consider a model check test for linear processes with infinite variance. As a test statistic, we employ the portmanteau test with trimmed residuals. It is shown that the limiting null distribution of the test is a chi-square distribution. Simulation results are provided for illustration.

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Year of publication:	2010
Authors:	Lee, Sangyeol ; Tim Ng, Chi
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 4, p. 984-998
Publisher:	Elsevier
Keywords:	Model check test Diagnostic test Portmanteau test Linear process with infinite variance Trimming method Asymptotic distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551005