EconPapers    
Economics at your fingertips  
 

Testing error distribution by kernelized Stein discrepancy in multivariate time series models

Donghang Luo, Ke Zhu (), Huan Gong and Dong Li

Papers from arXiv.org

Abstract: Knowing the error distribution is important in many multivariate time series applications. To alleviate the risk of error distribution mis-specification, testing methodologies are needed to detect whether the chosen error distribution is correct. However, the majority of the existing tests only deal with the multivariate normal distribution for some special multivariate time series models, and they thus can not be used to testing for the often observed heavy-tailed and skewed error distributions in applications. In this paper, we construct a new consistent test for general multivariate time series models, based on the kernelized Stein discrepancy. To account for the estimation uncertainty and unobserved initial values, a bootstrap method is provided to calculate the critical values. Our new test is easy-to-implement for a large scope of multivariate error distributions, and its importance is illustrated by simulated and real data.

Date: 2020-08
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/2008.00747 Latest version (application/pdf)

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:arx:papers:2008.00747

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2022-08-27
Handle: RePEc:arx:papers:2008.00747