Title: Model specification testing in seasonal ARMA models
Authors: Johan Lyhagen - Uppsala University (Sweden) [presenting]
Abstract: The joint asymptotic distribution of the coefficients of the autocorrelation function and the partial autocorrelation function is derived. Based on this, a test is proposed to test the specification of a seasonal ARMA model. The test is shown, by simulations, to have superior properties compared to testing the residuals being white noise.