Distribution Free Goodness-of-Fit Tests for Linear Processes
51 Pages Posted: 21 Jul 2008
Date Written: January 2005
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett's Tp-process with estimated parameters, which converges in distribution to the standard Brownian Motion under the null hypothesis. We discuss tests of different nature such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice.
JEL Classification: C14, C22
Suggested Citation: Suggested Citation