ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY

Journal of Time Series Analysis - Tập 15 Số 6 - Trang 627-636 - 1994
Wai Keung Li1, Tak K. Mak1
1University of Hong Kong and Concordia University, Canada

Tóm tắt

Abstract. Time series with a changing conditional variance have been found useful in many applications. Residual autocorrelations from traditional autoregressive moving‐average models have been found useful in model diagnostic checking. By analogy, squared residual autocorrelations from fitted conditional heteroskedastic time series models would be useful in checking the adequacy of such models. In this paper, a general class of squared residual autocorrelations is defined and their asymptotic distribution is obtained. The result leads to some useful diagnostic tools for statisticians using conditional heteroskedastic time series models. Some simulation results and an illustrative example are also reported.

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Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Journal of Time Series Analysis

Tập 15 Số 6

627-636

Thông tin tác giả