TY - JOUR
T1 - The Effect of the Estimation on Goodness-of-Fit Tests in Time Series Models
AU - Fang, Yue
PY - 2005
Y1 - 2005
N2 - We analyze, by simulation, the finite-sample properties of goodness-of-fit tests based on residual autocorrelation coefficients (simple and partial) obtained using different estimators frequently used in the analysis of autoregressive moving-average time-series models. The estimators considered are unconditional least squares, maximum likelihood and conditional least squares. The results suggest that although the tests based on these estimators are asymptotically equivalent for particular models and parameter values, their sampling properties for samples of the size commonly found in economic applications can differ substantially, because of differences in both finite-sample estimation efficiencies and residual regeneration methods.
AB - We analyze, by simulation, the finite-sample properties of goodness-of-fit tests based on residual autocorrelation coefficients (simple and partial) obtained using different estimators frequently used in the analysis of autoregressive moving-average time-series models. The estimators considered are unconditional least squares, maximum likelihood and conditional least squares. The results suggest that although the tests based on these estimators are asymptotically equivalent for particular models and parameter values, their sampling properties for samples of the size commonly found in economic applications can differ substantially, because of differences in both finite-sample estimation efficiencies and residual regeneration methods.
KW - Autoregressive-moving average model
KW - conditional least squares
KW - goodness-of-fit test
KW - maximum likelihood
KW - partial autocorrelation
KW - residual autocorrelation
KW - unconditional least squares
KW - Autoregressive-moving average model
KW - conditional least squares
KW - goodness-of-fit test
KW - maximum likelihood
KW - partial autocorrelation
KW - residual autocorrelation
KW - unconditional least squares
U2 - 10.1111/j.1467-9892.2005.00418.x
DO - 10.1111/j.1467-9892.2005.00418.x
M3 - Journal
SN - 0143-9782
VL - 26
SP - 527
EP - 541
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
IS - 4
ER -