Testing for Serial Correlation in Autoregressive Exogenous Models with Possible GARCH Errors.
Entropy (Basel)
; 24(8)2022 Aug 04.
Article
en En
| MEDLINE
| ID: mdl-36010740
ABSTRACT
Autoregressive exogenous, hereafter ARX, models are widely adopted in time series-related domains as they can be regarded as the combination of an autoregressive process and a predictive regression. Within a more complex structure, extant diagnostic checking methods face difficulties in remaining validity in many conditions existing in real applications, such as heteroscedasticity and error correlations exhibited between the ARX model itself and its exogenous processes. For these reasons, we propose a new serial correlation test method based on the profile empirical likelihood. Simulation results, as well as two real data examples, show that our method has a good performance in all mentioned conditions.
Texto completo:
1
Colección:
01-internacional
Base de datos:
MEDLINE
Tipo de estudio:
Prognostic_studies
Idioma:
En
Revista:
Entropy (Basel)
Año:
2022
Tipo del documento:
Article
País de afiliación:
China