Diagnostic checking for non-stationary ARMA models with an application to financial data

Shiqing Ling (), Ke Zhu () and Chong Ching Yee

The North American Journal of Economics and Finance, 2013, vol. 26, issue C, 624-639

Abstract: This paper first derives the limiting distributions of the residual and the squared residual autocorrelation functions of the nonstationary autoregressive moving-average model, respectively. We then use them to construct two portmanteau statistics for testing the adequacy of the fitted model. Simulation results show that the tests have reasonable empirical sizes and powers in the finite samples. Finally, we use the daily SP500 data to illustrate our theory and approach.

Keywords: Primary 60H25, 62M10; Secondary 62F12; Portmanteau test; Nonstationary ARMA; Residual ACFs; Squared residual ACFs (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:26:y:2013:i:c:p:624-639

DOI: 10.1016/j.najef.2013.02.025

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