Goodness-of-fit tests for vector autoregressive models in time series

Jian Hong Wu, Lixing ZHU

Research output: Contribution to journalJournal articlepeer-review


The paper proposes and studies some diagnostic tools for checking the goodness-of-fit of general parametric vector autoregressive models in time series. The resulted tests are asymptotically chi-squared under the null hypothesis and can detect the alternatives converging to the null at a parametric rate. The tests involve weight functions, which provides us with the flexibility to choose scores for enhancing power performance, especially under directional alternatives. When the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. A possibility to construct score-based omnibus tests is discussed when the alternative is saturated. The power performance is also investigated. In addition, when the sample size is small, a nonparametric Monte Carlo test approach for dependent data is proposed to improve the performance of the tests. The algorithm is easy to implement. Simulation studies and real applications are carried out for illustration.

Original languageEnglish
Pages (from-to)187-202
Number of pages16
JournalScience China Mathematics
Issue number1
Publication statusPublished - Jan 2010

Scopus Subject Areas

  • Mathematics(all)

User-Defined Keywords

  • Goodness-of-fit test
  • Maximin test
  • Nonparametric monte carlo test
  • Score type test
  • Time series
  • Vector autoregressive model


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