Testing Normality in Autoregressive Models
Copyright policy )Testing Normality in Autoregressive Models
It is shown that any test of normality computed from autoregressive residuals has the same limiting null distribution as for the standard case of independent, identically distributed observations with estimated parameters. Some numerical results are given to indicate that this approximation is acceptable for sample size 20 in first- and second-order models. Limited numerical results are also given to explore the effect of incorrectly specifying the order.
- Oregon State University United States
Asymptotic distribution theory in statistics, numerical results, autoregressive residuals, test of normality, Time series, auto-correlation, regression, etc. in statistics (GARCH), limiting null distribution, goodness-of-fit test, Nonparametric hypothesis testing
Asymptotic distribution theory in statistics, numerical results, autoregressive residuals, test of normality, Time series, auto-correlation, regression, etc. in statistics (GARCH), limiting null distribution, goodness-of-fit test, Nonparametric hypothesis testing
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