Residual-based diagnostic tests for noninvertible ARMA models

Show full item record

Permalink

http://hdl.handle.net/10138/217880
Title: Residual-based diagnostic tests for noninvertible ARMA models
Author: Nyholm, Juho
Belongs to series: HECER, Discussion Paper No. 416
ISSN: 1795-0562
Abstract: This paper proposes two residual-based diagnostic tests for noninvertible ARMA models. The tests are analogous to the portmanteau tests developed by Box and Pierce (1970), Ljung and Box (1978) and McLeod and Li (1983) in the conventional invertible case. We derive the asymptotic chi-squared distributions for the tests and study the size and power properties in a Monte Carlo simulation study. An empirical application employing financial time series data points out the usefulness of noninvertible ARMA model in analyzing stock returns and the use of the proposed test statistics.
URI: http://hdl.handle.net/10138/217880
Date: 2017-08-31


Files in this item

Total number of downloads: Loading...

Files Size Format View
HECER-DP416.pdf 492.1Kb PDF View/Open

This item appears in the following Collection(s)

Show full item record