NDLI: Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

Please wait, while we are loading the content...

Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

Content Provider	Scilit
Author	Escanciano, J. Carlos
Copyright Year	2006
Description	In this article we study a general class of goodness-of-fit tests for a parametric conditional mean of a linear or nonlinear time series model. Among the properties of the proposed tests are that they are suitable when the conditioning set is infinite-dimensional; that they are consistent against a broad class of alternatives, including Pitman's local alternatives converging at the parametric rate n−1/2, with n the sample size; and that they do not need to choose a lag order depending on the sample size or to smooth the data. It turns out that the asymptotic null distributions of the tests depend on the data generating process, so a new bootstrap procedure is proposed and theoretically justified. The proposed bootstrap tests are robust to higher-order dependence, particularly to conditional heteroscedasticity of unknown form. A simulation study compares the finite-sample performance of the proposed and competing tests and shows that our tests can play a valuable role in time series modeling. Finally, an application to an economic price series highlights the merits of our approach.
Related Links	http://www.unav.edu/documents/10174/6546776/1132757196_wp0205.pdf
Ending Page	541
Page Count	11
Starting Page	531
ISSN	01621459
e-ISSN	1537274X
DOI	10.1198/016214505000001050
Journal	Journal of the American Statistical Association
Issue Number	474
Volume Number	101
Language	English
Publisher	Informa UK Limited
Publisher Date	2006-06-01
Access Restriction	Open
Subject Keyword	Journal: Journal of the American Statistical Association Soil Science Goodness Nonlinear Bootstrap Time Series Modeling Parametric Fit Sample Size Order Dependence
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Simultaneous inference of linear models with time varying coefficients

Validation tests for semi-parametric models

Goodness of Fit for Generalized Linear Latent Variables Models

Binary Time Series Modeling With Application to Adhesion Frequency Experiments

Spectral Density Based Goodness-of-Fit Tests for Time Series Models

Goodness-of-fit Tests for Mixed Models

A Non‐parametric Test for Generalized First‐order Autoregressive Models

Goodness-of-fit tests for Markovian time series models: Central limit theory and bootstrap approximations

Local and omnibus goodness-of-fit tests in classical measurement error models

Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

Similar Documents

Simultaneous inference of linear models with time varying coefficients

Validation tests for semi-parametric models

Goodness of Fit for Generalized Linear Latent Variables Models

Binary Time Series Modeling With Application to Adhesion Frequency Experiments

Spectral Density Based Goodness-of-Fit Tests for Time Series Models

Goodness-of-fit Tests for Mixed Models

A Non‐parametric Test for Generalized First‐order Autoregressive Models

Goodness-of-fit tests for Markovian time series models: Central limit theory and bootstrap approximations

Local and omnibus goodness-of-fit tests in classical measurement error models

Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models