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A Unified Test for the AR Error Structure of an Autoregressive Model

Authors :
Xinyi Wei
Xiaohui Liu
Yawen Fan
Li Tan
Qing Liu
Source :
Axioms, Vol 11, Iss 12, p 690 (2022)
Publication Year :
2022
Publisher :
MDPI AG, 2022.

Abstract

A direct application of autoregressive (AR) models with independent and identically distributed (iid) errors is sometimes inadequate to fit the time series data well. A natural alternative is further to assume the model errors following an AR process, whose structure however has essential impacts on the statistical inferences related to the autoregressive models. In this paper, we construct a new unified test for checking the AR error structure based on the empirical likelihood method. The proposed test is desirable because its limit distribution is always chi-squared regardless of whether the autoregressive model is stationary or non-stationary, with or without an intercept term. Some simulations are also provided to illustrate the finite sample performance of this test. Finally, we apply the proposed test to a financial real data set.

Details

Language :
English
ISSN :
20751680
Volume :
11
Issue :
12
Database :
Directory of Open Access Journals
Journal :
Axioms
Publication Type :
Academic Journal
Accession number :
edsdoj.725abf8440614c4eac60ba33c7b43ab3
Document Type :
article
Full Text :
https://doi.org/10.3390/axioms11120690