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.
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Bagnato, L., Punzo, A. (2013). Using the Autodependogram in Model Diagnostic Checking. In: Torelli, N., Pesarin, F., Bar-Hen, A. (eds) Advances in Theoretical and Applied Statistics. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35588-2_13
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DOI: https://doi.org/10.1007/978-3-642-35588-2_13
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