Details

Autor(en) / Beteiligte

• Wei, Xinyi
• Liu, Xiaohui
• Fan, Yawen
• Tan, Li
• Liu, Qing

Titel

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

Ist Teil von

• Axioms, 2022-12, Vol.11 (12), p.690

Ort / Verlag

Basel: MDPI AG

Erscheinungsjahr

2022

Quelle

EZB Electronic Journals Library

Beschreibungen/Notizen

• 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.