On Robust Diagnostics at Individual Lags Using RA-ARX Estimators

Imad Bou-Hamad and Pierre Duchesne

Chapter Chapter 7 in Statistical Modeling and Analysis for Complex Data Problems, 2005, pp 121-140 from Springer

Abstract: Abstract The aim of this paper is to present robust individual tests in autoregressive models with exogenous variables. We derive the asymptotic distribution of the RA-ARX estimators introduced in Duchesne (2004a), following an approach similar to Bustos and Yohai (1986). In particular, we give the asymptotic covariance structure of the RA-ARX estimators. Using this result, we establish the asymptotic distribution of the robustified residual autocorrelations under the null hypothesis of adequacy, which is normal. Some simulation results are reported.

Keywords: Asymptotic Distribution; ARMA Model; Data Generate Process; Robust Estimator; Little Square Estimator (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-24555-3_7

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DOI: 10.1007/0-387-24555-3_7

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