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Maximum Entropy Test for Autoregressive Models

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Uncertainty Analysis in Econometrics with Applications

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 200))

Abstract

In this paper, we apply the maximum entropy test developed for a goodness of fit in iid samples by [11] to autoregressive time series models including non-stationary unstable models. Its asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is also discussed and its performance is evaluated through Monte Carlo simulations. A real data analysis is conducted for illustration.

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Author information

Authors and Affiliations

  1. Department of Statistics, Seoul National University, Seoul, Korea

    Sangyeol Lee

  2. Business School, Korea University, Seoul, Korea

    Siyun Park

Authors
  1. Sangyeol Lee
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  2. Siyun Park
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Corresponding author

Correspondence to Sangyeol Lee .

Editor information

Editors and Affiliations

  1. Science and Technology, School of Knowledge Science, Japan Advanced Institute of, Asahidai, Nomi 1-1, Ishikawa, 923-1292, Japan

    Van-Nam Huynh

  2. , Department of Computer Science, University of Texas at El Paso, W. University 500, El Paso, 79968, Texas, USA

    Vladik Kreinovich

  3. , Faculty of Economics, Chiang Mai University, Chinag Mai, 50200, Thailand

    Songsak Sriboonchitta

  4. , Faculty of Economics, Chiang Mai University, Chinag Mai, 50200, Thailand

    Komsan Suriya

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Lee, S., Park, S. (2013). Maximum Entropy Test for Autoregressive Models. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S., Suriya, K. (eds) Uncertainty Analysis in Econometrics with Applications. Advances in Intelligent Systems and Computing, vol 200. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35443-4_8

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  • DOI: https://doi.org/10.1007/978-3-642-35443-4_8

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-35442-7

  • Online ISBN: 978-3-642-35443-4

  • eBook Packages: EngineeringEngineering (R0)

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