[go: up one dir, main page]

IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v7y1986i3p217-233.html
   My bibliography  Save this article

Some Aspects Of The Performance Of Diagnostic Checks In Bivariate Time Series Models

Author

Listed:
  • D. S. Poskitt
  • A. R. Tremayne
Abstract
. This paper is concerned with the use of score, or Lagrangian multiplier and portmanteau tests of fitted model adequacy in vector autoregressiveā€moving average processes. The relation between these alternative diagnostic checking devices is discussed from an asymptotic theoretic standpoint. Some finite sample properties of the tests are investigated in the context of bivariate models using Monte Carlo methods. Asymptotic theory is used to help determine the simulation design and also proves useful in appraising the experimental outcomes. The results provide evidence on the likely relative performance of the two procedures in practice and suggest that the score test is to be preferred.

Suggested Citation

  • D. S. Poskitt & A. R. Tremayne, 1986. "Some Aspects Of The Performance Of Diagnostic Checks In Bivariate Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 217-233, May.
  • Handle: RePEc:bla:jtsera:v:7:y:1986:i:3:p:217-233
    DOI: 10.1111/j.1467-9892.1986.tb00505.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1986.tb00505.x
    Download Restriction: no

    File URL: https://libkey.io/10.1111/j.1467-9892.1986.tb00505.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Robert C. Jung & A. R. Tremayne, 2003. "Testing for serial dependence in time series models of counts," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 65-84, January.
    2. D.S. Poskitt, 2004. "Some Results on the Identification and Estimation of Vector ARMAX Processes," Monash Econometrics and Business Statistics Working Papers 12/04, Monash University, Department of Econometrics and Business Statistics.
    3. D. S. Poskitt, 2005. "A Note on the Specification and Estimation of ARMAX Systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 157-183, March.
    4. D. S. Poskitt & M. O. Salau, 1995. "On The Relationship Between Generalized Least Squares And Gaussian Estimation Of Vector Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 617-645, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:7:y:1986:i:3:p:217-233. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.