A goodnes-of-fit test based on ranks for arma models

Nélida Ferretti, Diana M. Kelmansky and Víctor J. Yohai

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: In this paper we introduce a goodness-of-fit test based on ranks for ARMA models. The classical portmanteau statistic is generalized to a class of estimators based on ranks. The asymptotic distributions of the proposed statistics are derived. Simulation results suggest that the proposed statistics have good robustness properties for an adequate choice of the score functions.

Keywords: AR; MA models; Ranks; Goodness-of-fit (search for similar items in EconPapers)
Date: 1992-01
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:5817

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