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Reference: Eric Engler and Bent Nielsen, (2007). The empirical process of autoregressive residuals. Nuffield College (University of Oxford).Citable link to this page:

 

The empirical process of autoregressive residuals. Series: Economics Working Papers

Abstract: The empirical process of the residuals from general autoregressions is investigated. If an intercept is included in the regression, the empirical process is asymptotically Gaussian and free of nuisance parameters. This contrasts the known result that in the unit root case without intercept the empirical process is asymptotically non-Gaussian. The result is used to establish asymptotic theory for the Kolmogorov-Smirnov test, Probability-Probability plots, and Quantile-Quantile plots. The link between sample moments and the empirical process of the residuals is established and used to establish the properties of the cumulant based tests for normality referred to as the Jarque-Bera test.

Bibliographic Details

Issue Date: 2007Identifiers

Urn: uuid:6083ff2b-5ff2-4c51-989d-406bf0ef9eea Item Description

Type: info:eu-repo/semantics/workingPaper;

Language: en

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Author: Eric Engler - - - Bent Nielsen - - - - Bibliographic Details Issue Date: 2007 - Identifiers Urn: uuid:6083ff2b-5ff2-4c51-989d-406

Source: https://ora.ox.ac.uk/objects/uuid:6083ff2b-5ff2-4c51-989d-406bf0ef9eea



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