Testing model performance on a data set other than the data set used for estimation is common practice in econometrics, technological stochastic modelling and environmetrics. In this paper, using an ARMAX model, the asymptotic distribution of the residual autocorrelations in the validation data set is given and a χ2 test for overall residual incorrelation is considered.
(2000). Residual autocorrelation distribution in the validation data set [journal article - articolo]. In JOURNAL OF TIME SERIES ANALYSIS. Retrieved from http://hdl.handle.net/10446/228576
Residual autocorrelation distribution in the validation data set
Fassò, Alessandro
2000-01-01
Abstract
Testing model performance on a data set other than the data set used for estimation is common practice in econometrics, technological stochastic modelling and environmetrics. In this paper, using an ARMAX model, the asymptotic distribution of the residual autocorrelations in the validation data set is given and a χ2 test for overall residual incorrelation is considered.File allegato/i alla scheda:
| File | Dimensione del file | Formato | |
|---|---|---|---|
|
2000_JTSA_residual_autocorr.pdf
Solo gestori di archivio
Versione:
publisher's version - versione editoriale
Licenza:
Licenza default Aisberg
Dimensione del file
207.74 kB
Formato
Adobe PDF
|
207.74 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo
