Reference : On Partial-Sum Processes of ARMAX Residuals
Scientific congresses, symposiums and conference proceedings : Unpublished conference
Business & economic sciences : Quantitative methods in economics & management
On Partial-Sum Processes of ARMAX Residuals
Holcblat, Benjamin mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Gronneberg, Steffen mailto [BI Norwegian Business School > Economics]
Computational and Methodological Statistics 2017
16-18 December 2017
ERCIM Working Group on Computational and Methodological Statistics (CMStatistics), Birkbeck University of London and King's College London
[en] ARMAX residuals
[en] General and versatile results are established regarding the limit behavior of the partial-sum process of ARMAX residuals. Illustrations include ARMA with seasonal dummies, misspecified ARMAX models with autocorrelated errors, nonlinear ARMAX models, ARMA with a structural break, a wide range of ARMAX models with infinite-variance errors, weak GARCH models and the consistency of kernel estimation of the density of ARMAX errors. Our results identify the limit distributions, and provide a general algorithm to obtain pivot statistics for CUSUM tests.

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