Applied Econometrics
Applied Econometrics
Applied Econometrics
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Diagnostics of ARIMA models<br />
● Resulting residuals should be white noise<br />
● White noise:<br />
=> zero mean and no autocorrelations, thus<br />
Ljung-Box statistics or Portmanteau statistics<br />
insignificant and ACF and PACF bars within<br />
„bands“ - 95% confidence intervals, that the<br />
true value equals zero, usually approximated as<br />
+/- 2/√T.<br />
● Information criteria: to find the best in the tradeoff<br />
between parsimony and R-sq.
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