Model checks of higher order time series

W. Stute, M. Presedo Quindimil, W. González Manteiga and H.L. Koul

Statistics & Probability Letters, 2006, vol. 76, issue 13, 1385-1396

Abstract: In this paper we propose and study nonparametric tests for the validity of higher order time-series models. These are based on properly defined residual cusums. In a simulation study it is shown that these tests outperform others when the time series has a dimension reducing character and the dimension becomes large.

Keywords: Higher; order; time; series; Model; check; Marked; empirical; processes; Residual; cusums; Dimension; reducing; model (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (6)

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