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Diagnostic checking using subspace methods

García Hiernaux, Alfredo (2009) Diagnostic checking using subspace methods. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0901, 2009, ] (Unpublished)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:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2009
Number:0901
ID Code:8589
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Deposited On:03 Mar 2009 09:23
Last Modified:06 Feb 2014 08:10

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