García Hiernaux, Alfredo (2009) Diagnostic checking using subspace methods. [Working Paper or Technical Report] (Unpublished)
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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.
| Item Type: | Working Paper or Technical Report |
|---|---|
| Uncontrolled Keywords: | Diagnostic checking, Portmanteau tests, Subspace methods |
| Subjects: | Social sciences > Economics > Finance |
| Series Name: | UCM. Instituto Complutense de Análisis Económico. Documentos de trabajo |
| Volume: | 2009 |
| Number: | 0901 |
| ID Code: | 8589 |
| Deposited On: | 03 Mar 2009 10:23 |
| Last Modified: | 01 Sep 2010 09:29 |
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