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A power comparison between autocorrelation based tests

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  • Hajria, Raja Ben
  • Khardani, Salah
  • Raïssi, Hamdi

Abstract

In this paper we provide an asymptotic theoretical power comparison in the Bahadur sense, between the portmanteau and Breusch–Godfrey Lagrange Multiplier (LM) tests for the goodness-of-fit checking of vector autoregressive (VAR) models. We also aim to give some theoretical explanations on simulation results obtained in the literature, and suggest some guidelines on the choice of the number of autocorrelations in the test statistics. The merits and the drawbacks of the studied tests are illustrated using Monte Carlo experiments.

Suggested Citation

  • Hajria, Raja Ben & Khardani, Salah & Raïssi, Hamdi, 2018. "A power comparison between autocorrelation based tests," Statistics & Probability Letters, Elsevier, vol. 143(C), pages 1-6.
    • Handle: RePEc:eee:stapro:v:143:y:2018:i:c:p:1-6
    DOI: 10.1016/j.spl.2018.07.015
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    References listed on IDEAS

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    1. Yacouba Boubacar Maïnassara & Bruno Saussereau, 2018. "Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(524), pages 1813-1827, October.
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    6. Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
    7. Lütkepohl, Helmut, 2008. "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, vol. 99(3), pages 512-515, June.
    8. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521839198, November.
    9. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
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