A basic goodness-of-fit process fro VARMA (p,q) models

Huong Nguyen

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This Working Paper presents some preliminary results for a new goodness-of- t method for VARMA(p,q) models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as an extension of a previously proposed technique in Ubierna and Velilla (2007). The limit behavior of this last random object is obtained as a consequence of a collection of asymptotic results that generalize those obtained previously in Hosking (1981) and Ubierna and Velilla (2007).

Keywords: VARMA(p; q) models; Brownian; bridge; Error; sample; correlation; matrix; Goodness-of-; t; process; Weak; convergence (search for similar items in EconPapers)
Date: 2011-04
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws111409

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