Asymptotic behaviour of the portmanteau tests in an integer-valued AR model

Jing Zhang, Bo Li, Xiaohui Liu and Xinyue Wan

Journal of Nonparametric Statistics, 2023, vol. 35, issue 3, 562-586

Abstract: The portmanteau test has been popular for diagnostic checking in time series models. Asymptotic properties of portmanteau tests have been exhaustively studied for real-valued time series model though, similar results for integer-valued autoregressive (INAR) models are not well documented, nevertheless. In view of this, we investigate the asymptotic behaviour of the Box-Pierce and Ljung-Box portmanteau tests in an INAR model. It turns out that these tests are chi-squared distributed asymptotically under mild conditions regardless of the process being stable or nearly unstable.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10485252.2023.2175594 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:gnstxx:v:35:y:2023:i:3:p:562-586

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/GNST20

DOI: 10.1080/10485252.2023.2175594

Access Statistics for this article

Journal of Nonparametric Statistics is currently edited by Jun Shao

More articles in Journal of Nonparametric Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().