Goodness of fit tests and lasso variable selection in time series analysis
Chand, Sohail (2011) Goodness of fit tests and lasso variable selection in time series analysis. PhD thesis, University of Nottingham.
This thesis examines various aspects of time series and their applications. In the rst part, we study numerical and asymptotic properties of Box-Pierce family of portmanteau tests. We compare size and power properties of time series model diagnostic tests using their asymptotic c2 distribution and bootstrap distribution (dynamic and fixed design) against various linear and non-linear alternatives. In general, our results show that dynamic bootstrapping provides a better approximation of the distribution underlying these statistics. Moreover, we find that Box-Pierce type tests are powerful against linear alternatives while the CvM due to Escanciano (2006b) test performs better against non linear alternative models.
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