Residual Diagnostic Plots for Checking for model Mis-Specification in Time Series Regression

R. Fraccaro, Rob Hyndman () and A. Veevers

No 12/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper considers residuals for time series regression. Despite much literature on visual diagnostics for uncorrelated data, there is little on the autocorrelated case. In order to examine various aspects of the fitted time series regression model, three residuals are considered. The fitted regression model can be checked using orthogonal residuals; the time series error model can be analysed using marginal residuals; and the white noise error component can be tested using conditional residuals. When used together, these residuals allow identification of outliers, model mis-specification and mean shifts.

Keywords: TIME SERIES; ECONOMIC MODELS; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: C10 C22 (search for similar items in EconPapers)
Date: 1998

Published in Australian and New Zealand Journal of Statistics, 42(4), 463-477.

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