Diagnostic checking using subspace methods

Alfredo Garcia-Hiernaux

No 2009-03, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the multivariate case. The performance of the proposals is illustrated via Monte Carlo simulations and an example with real data.

Keywords: Diagnostic checking; portmanteau tests; subspace methods. (search for similar items in EconPapers)
Pages: 22 pages
Date: 2009
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