Abstract
Abstract. This paper is concerned with the use of score, or Lagrangian multiplier and portmanteau tests of fitted model adequacy in vector autoregressive‐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.
Original language | English |
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Pages (from-to) | 217-233 |
Number of pages | 17 |
Journal | Journal of Time Series Analysis |
Volume | 7 |
Issue number | 3 |
DOIs | |
Publication status | Published - 1 Jan 1986 |
Externally published | Yes |
Keywords
- Bivariate autoregressive‐moving average models
- Diagnostic checking
- Empirical size and power characteristics
- Monte Carlo experiments
- Pure significance test