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Diagnostic checking using subspace methods

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García Hiernaux, Alfredo (2009) Diagnostic checking using subspace methods. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 03, 2009, ] (Unpublished)

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Official URL: http://eprints.ucm.es/8589/


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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:03
ID Code:8589
Deposited On:03 Mar 2009 09:23
Last Modified:08 Jun 2017 09:07

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