A MONTE-CARLO STUDY ON THE INTERACTION BETWEEN MODEL SELECTION AND TESTING NONNORMALITY IN AUTOREGRESSIVE MODELS

被引：0

作者：

FUKUSHIGE, M ^{[1
]}

机构：

[1] NAGOYA CITY UNIV,FAC ECON,MIZUHO KU,NAGOYA,AICHI 467,JAPAN

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 1994年 / 23卷 / 04期

关键词：

SKEWNESS; KURTOSIS; OMNIBUS TEST; AUTOREGRESSIVE PROCESS; MODEL SELECTION; NORMALITY;

D O I：

10.1080/03610919408813209

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We investigate the interaction between model selection procedure and testing nonnormality in autoregressive processes when the sample size is small, we utilize residual skewness, kurtosis and an omnibus statistic as test statistics and AlC, SC and HQ as model selection criteria. The result of a Monte Carlo simulation with some AR(3) models shows that the performance of the statistics from the selected model is as well as those from the true model.

引用

页码：925 / 937

页数：13

共 8 条

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