JSM 2004 Online Program

Abstract #302096

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Activity Number:	314
Type:	Contributed
Date/Time:	Wednesday, August 11, 2004 : 9:00 AM to 10:50 AM
Sponsor:	IMS
Abstract - #302096
Title:	An Adequacy Test for Time Series Models Using Estimating Functions
Author(s):	Melody Ghahramani*+ and Aerambamoorthy Thavaneswaran
Companies:	University of Manitoba and University of Manitoba
Address:	Dept. of Statistics, Winnipeg, MB, R3T 2N2, Canada
Keywords:	estimating functions ; time series ; model identification
Abstract:	Combined estimating functions method had been used to study filtering for nonlinear time series models in Thavaneswaran and Thompson (2002) and for prediction of nonlinear time series models in Thavaneswaran and Heyde (1999). Typically, model identification or adequacy of linear time series models involves checking normality. However, for many financial time series, nonlinear time series such as ARCH models and GARCH models are more appropriate. We propose a time series identification method using the combined estimating function theorem result. We illustrate the method with a few financial datasets.

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