Residuals in time series models
نویسنده
چکیده
Three types of residuals in time series models (namely ”conditional residuals”, ”unconditional residuals” and ”innovations”) are considered with regard to (i) their precise definitions, (ii) their computation after model estimation, (iii) their approximate distributions in ?nite samples, and (iv) potential applications of their properties in model diagnostic checking. Both partially-known and new results are presented, showing what might be found (and, to some extent, what should be done) in practice when dealing with residuals after estimation of time series models.
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