Using the Autodependogram in Model Diagnostic Checking

Luca Bagnato, Antonio Punzo

Research output: Chapter in Book/Report/Conference proceedingChapter

6 Citations (Scopus)

Abstract

In this chapter the autodependogram is contextualized in model diagnostic checking for nonlinear models by studying the lag-dependencies of the residuals. Simulations are considered to evaluate its effectiveness in this context. An application to the Swiss Market Index is also provided.
Original languageEnglish
Title of host publicationAdvances in Theoretical and Applied Statistics
EditorsNICOLA TORELLI, FORTUNATO PESARIN, AVNER BAR-HEN
Pages129-139
Number of pages11
Publication statusPublished - 2013

Keywords

  • Autodependogram
  • Nonlinear time series

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