Munich Personal RePEc Archive

Residual-based diagnostic tests for noninvertible ARMA models

Nyholm, Juho (2017): Residual-based diagnostic tests for noninvertible ARMA models.

[img]
Preview
PDF
MPRA_paper_81033.pdf

Download (569kB) | Preview

Abstract

This paper proposes two residual-based diagnostic tests for noninvertible ARMA models. The tests are analogous to the portmanteau tests developed by Box and Pierce (1970), Ljung and Box (1978) and McLeod and Li (1983) in the conventional invertible case. We derive the asymptotic chi-squared distribution for the tests and study the size and power properties in a Monte Carlo simulation study. An empirical application employing financial time series data points out the usefulness of noninvertible ARMA model in analyzing stock returns and the use of the proposed test statistics.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.