Template-type: ReDIF-Paper 1.0
Author-Name: Alfredo García-Hiernaux
Author-Email: agarciah@ccee.ucm.es
Author-Workplace-Name: Universidad Complutense, Dpto. de Fundamentos de Análisis Económico II
Title: Diagnostic checking using subspace methods
Abstract: The problem of diagnostic checking is tackled from the perspective of the subspace methods. 
	Two statistics are presented and its asymptotic distributions are derived under the null. 
	The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic 
	in the multivariate case. The performance of the proposals is illustrated via Monte Carlo simulations 
	and an example with real data.
Keywords: Diagnostic checking, portmanteau tests, subspace methods. 
Length: 22 pages 
Creation-Date: 2009
Number: 2009-03
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0903.txt
File-URL: https://eprints.ucm.es/id/eprint/8589/1/0903.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0903