A new class of distribution-free tests for time series models specification

Miguel A. Delgado () and Carlos Velasco ()

Economics Working Papers from Universidad Carlos III, Departamento de Economía

Abstract: The construction of asymptotically distribution free time series model specification tests using as statistics the estimated residual autocorrelations is considered from a general view point. We focus our attention on Box-Pierce type tests based on the sum of squares of a few estimated residual autocorrelations. This type of tests belong to the class defined by quadratic forms of weighted residual autocorrelations, where weights are suitably transformed resulting in asymptotically distribution free tests. The weights can be optimally chosen to maximize the power function when testing in the direction of local alternatives. The optimal test in this class against MA, AR or Bloomfield alternatives is a Box-Pierce type test based on the sum of squares of a few transformed residual autocorrelations. Such transformations are, in fact, the recursive residuals in the projection of the residual autocorrelations on a certain score function.

Keywords: Dynamic regression model; Optimal tests; Recursive residuals; Residual autocorrelation function; Specification tests; Time series models (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2009-02
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Related works:
Working Paper: A new class of distribution-free tests for time series models specification (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:cte:werepe:we090904

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