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Article: Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

TitleDiagnostic checking of nonlinear multivariate time series with multivariate ARCH errors
Authors
KeywordsAsymptotic distribution
Model checking
Multivariate ARCH errors
Portmanteau test
Sum of squared residual autocorrelations
Issue Date1997
PublisherBlackwell Publishing Ltd.
Citation
Journal Of Time Series Analysis, 1997, v. 18 n. 5, p. 447-464 How to Cite?
AbstractMultivariate time series with multivariate ARCH errors have been found useful in many applications. In order to check the adequacy of these models, we define the sum of squared (standardized) residual autocorrelations and derive their asymptotic distribution. The results are used to derive several new multivariate portmanteau tests. Simulation results show that the asymptotic standard errors are quite satisfactory compared with empirical standard errors and that the tests have reasonable empirical size and power. The distribution of the standardized residual autocorrelations is also derived.
Persistent Identifierhttp://hdl.handle.net/10722/82971
ISSN
2015 Impact Factor: 1.0
2015 SCImago Journal Rankings: 1.177
References

 

DC FieldValueLanguage
dc.contributor.authorLing, Sen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:35:28Z-
dc.date.available2010-09-06T08:35:28Z-
dc.date.issued1997en_HK
dc.identifier.citationJournal Of Time Series Analysis, 1997, v. 18 n. 5, p. 447-464en_HK
dc.identifier.issn0143-9782en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82971-
dc.description.abstractMultivariate time series with multivariate ARCH errors have been found useful in many applications. In order to check the adequacy of these models, we define the sum of squared (standardized) residual autocorrelations and derive their asymptotic distribution. The results are used to derive several new multivariate portmanteau tests. Simulation results show that the asymptotic standard errors are quite satisfactory compared with empirical standard errors and that the tests have reasonable empirical size and power. The distribution of the standardized residual autocorrelations is also derived.en_HK
dc.languageengen_HK
dc.publisherBlackwell Publishing Ltd.en_HK
dc.relation.ispartofJournal of Time Series Analysisen_HK
dc.rightsJournal of Time Series Analysis. Copyright © Blackwell Publishing Ltd.en_HK
dc.subjectAsymptotic distributionen_HK
dc.subjectModel checkingen_HK
dc.subjectMultivariate ARCH errorsen_HK
dc.subjectPortmanteau testen_HK
dc.subjectSum of squared residual autocorrelationsen_HK
dc.titleDiagnostic checking of nonlinear multivariate time series with multivariate ARCH errorsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0143-9782&volume=18&issue=5&spage=447&epage=464&date=1997&atitle=Diagnostic+checking+of+nonlinear+multivariate+time+series+with+multivariate+ARCH++errorsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-0000787225en_HK
dc.identifier.hkuros26350en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0000787225&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume18en_HK
dc.identifier.issue5en_HK
dc.identifier.spage447en_HK
dc.identifier.epage464en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLing, S=7102701223en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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