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

被引:1
|
作者
Wei, Xinyi [1 ,2 ]
Liu, Xiaohui [1 ,2 ]
Fan, Yawen [1 ,2 ]
Tan, Li [1 ,2 ]
Liu, Qing [1 ,2 ]
机构
[1] Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Peoples R China
[2] Jiangxi Univ Finance & Econ, Key Lab Data Sci Finance & Econ, Nanchang 330013, Peoples R China
基金
中国博士后科学基金;
关键词
autoregressive model; AR errors; empirical likelihood; unified test; EMPIRICAL LIKELIHOOD; TIME-SERIES; UNIT-ROOT; PERSISTENCE; REGRESSION; INFERENCE;
D O I
10.3390/axioms11120690
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
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.
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页数:18
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