Diagnostic checking using subspace methods
ISSN: 2341-2356
Year of publication: 2009
Issue: 3
Pages: 1-22
Type: Working paper
More publications in: Documentos de Trabajo (ICAE)
Abstract
The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the multivariate case. The performance of the proposals is illustrated via Monte Carlo simulations and an example with real data.