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Residual Autocorrelation Distribution in the Validation Data Set
Author(s) -
Fasso Alessandro
Publication year - 2000
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00178
Subject(s) - residual , autocorrelation , mathematics , data set , statistics , set (abstract data type) , econometrics , asymptotic distribution , data mining , algorithm , computer science , estimator , programming language
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 χ 2 test for overall residual incorrelation is considered.