Diagnostic checking of nonlinear multivariate time series with multivariate arch errors

Shiqing LING, Wai Keung LI

Research output: Contribution to journalArticles

46 Citations (Scopus)

Abstract

Multivariate 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. Copyright © 1997 Blackwell Publishers Ltd.
Original languageEnglish
Pages (from-to)447-464
JournalJournal of Time Series Analysis
Volume18
Issue number5
DOIs
Publication statusPublished - Sep 1997

Citation

Ling, S., & Li, W. K. (1997). Diagnostic checking of nonlinear multivariate time series with multivariate arch errors. Journal of Time Series Analysis, 18(5), 447-464. doi: 10.1111/1467-9892.00061

Keywords

  • Asymptotic distribution
  • Model checking
  • Multivariate ARCH errors
  • Portmanteau test
  • Sum of squared residual autocorrelations

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