On the cumulated periodogram goodness-of-fit test in ARMA models

Santiago Velilla Cerdan

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The asymptotic distribution of the cumulated periodogram goodness-of-fit test statistic for ARMA models is obtained, and is shown to be different from the limiting distribution of the standard Kolmogorov-Smirnov test statistic for probability distributions. The implications of this anomaly for inference purposes are analyzed. A modified cumulated periodogram goodness-of-fit test statistic is suggested, and its properties are studied and compared with other goodness-of-fit criteria proposed in the literature.

Keywords: Autocorrelation; function; Ljung-Box; statistic; Normalized; spectral; distribution; function; Residuals (search for similar items in EconPapers)
Date: 1996-07
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10721

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