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A Unified Test for the AR Error Structure of an Autoregressive Model
- 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.
- Subjects :
- autoregressive model
AR errors
empirical likelihood
unified test
Mathematics
QA1-939
Subjects
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