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Biometrika 1992 79(2):435-437; doi:10.1093/biomet/79.2.435
© 1992 by Biometrika Trust
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MISCELLANEA

On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling

W. K. LI

Department of Statistics, University of Hong Kong Hong Kong

The asymptotic distribution of residual autocorrelations for some very general nonlinear time series models is derived. This includes the important class of threshold models. Consequently more accurate standard errors for residual autocorrelations can be obtained facilitating model diagnostic checkings in many situations. A small simulation result applying the methodology to threshold models is reported.

Key Words: Asymptotic distribution • Nonlinear models • Residual autocorrelations • Standard errors • Threshold models


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G. Li and W. K. Li
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
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