Publication: Diagnostic checking using subspace methods
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2009-02
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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
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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.
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