Velilla, Santiago; Nguyen, Huong - Departamento de Estadistica, Universidad Carlos III de … - 2011
This Working Paper presents some preliminary results for a new goodness-of- t method for VARMA(p,q) models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as...