Title of article
On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model
Author/Authors
Pierre Duchesne، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
5
From page
193
To page
197
Abstract
The autoregressive conditional multinomial (ACM) model describes vector time series of conditional probabilities. We derive the asymptotic distribution of the residual autocovariance matrices in this class of models. A test for diagnostic checking is presented and its asymptotic distribution is established.
Keywords
Autoregressive conditional multinomial models , Autocovariance matrices , Vector time series , Diagnostic checking
Journal title
Economics Letters
Serial Year
2004
Journal title
Economics Letters
Record number
435406
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