Residual Autocorrelation Distribution in the Validation Data Set

Alessandro Fasso

Journal of Time Series Analysis, 2000, vol. 21, issue 2, 143-153

Abstract: Testing model performance on a data set other than the data set used for estimation is common practice in econometrics, technological stochastic modelling and environmetrics. In this paper, using an ARMAX model, the asymptotic distribution of the residual autocorrelations in the validation data set is given and a χ2 test for overall residual incorrelation is considered.

Date: 2000
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https://doi.org/10.1111/1467-9892.00178

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:21:y:2000:i:2:p:143-153

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