[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.
Disciplines :
Méthodes quantitatives en économie & gestion
Auteur, co-auteur :
HOLCBLAT, Benjamin ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Gronneberg, Steffen; BI Norwegian Business School > Economics
Co-auteurs externes :
yes
Langue du document :
Anglais
Titre :
On Partial-Sum Processes of ARMAX Residuals
Date de publication/diffusion :
décembre 2017
Nom de la manifestation :
Computational and Methodological Statistics 2017
Organisateur de la manifestation :
ERCIM Working Group on Computational and Methodological Statistics (CMStatistics), Birkbeck University of London and King's College London
