A1582
Title: On partial-sum processes of ARMAX residuals
Authors: Steffen Groenneberg - BI Norwegian Business school (Norway) [presenting]
Benjamin Holcblat - University of Luxembourg (Luxembourg)
Abstract: General and versatile results are established regarding the limit behavior of the partial-sum process of ARMAX residuals. Illustrations include ARMA with seasonal dummies, misspecified ARMAX models with autocorrelated errors, nonlinear ARMAX models, ARMA with a structural break, a wide range of ARMAX models with infinite-variance errors, weak GARCH models and the consistency of kernel estimation of the density of ARMAX errors. Our results identify the limit distributions, and provide a general algorithm to obtain pivot statistics for CUSUM tests.
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