Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals
51 Pages Posted: 16 Apr 2010 Last revised: 2 Jul 2011
Date Written: June 30, 2010
Abstract
In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARMA models is investigated.
Multivariate empirical processes based on squared residuals and other functions of the residuals are also investigated. It is shown how these processes can be used to develop distribution free tests of change-point analysis and serial independence. It is also demonstrated that these empirical processes provide an easy mechanism for developing goodness-of-fit tests for the distribution of the innovations, and that the well-known Lilliefors test can be applied to the residuals of ARMA models without any change.
Keywords: Diagnostic Tests, ARMA Models, Residuals, Squared Residuals, Empirical Processes, Coplas
JEL Classification: C52, C15, C12, C14
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?
By Eugene N. White and Peter Rappoport
-
'Bubbles in Society' - The Example of the United States Apollo Program
By Monika Gisler and Didier Sornette
-
Empirical Processes for Infinite Variance Autoregressive Models
By Kilani Ghoudi and Chafik Bouhaddioui