Distribution Free Goodness-of-Fit Tests for Linear Processes

51 Pages Posted: 21 Jul 2008

See all articles by Miguel Delgado

Miguel Delgado

affiliation not provided to SSRN

Javier S. Hidalgo

London School of Economics & Political Science (LSE)

Carlos Velasco

Universidad Carlos III de Madrid - Department of Economics

Date Written: January 2005

Abstract

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

Delgado, Miguel and Hidalgo, Javier S. and Velasco, Carlos, Distribution Free Goodness-of-Fit Tests for Linear Processes (January 2005). LSE STICERD Research Paper No. EM482. Available at SSRN: https://ssrn.com/abstract=1162634

Miguel Delgado (Contact Author)

affiliation not provided to SSRN ( email )

Javier S. Hidalgo

London School of Economics & Political Science (LSE) ( email )

Houghton Street
London, WC2A 2AE
United Kingdom

Carlos Velasco

Universidad Carlos III de Madrid - Department of Economics ( email )

Calle Madrid 126
Getafe, 28903
Spain
+34-91 6249646 (Phone)
+34-91 6249875 (Fax)

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