Consistent model selection criteria and goodness-of-fit test for common time series models
Jean‐Marc Bardet, Kare Kamila, William Kengne
Abstract
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty $) processes, as well as the GARCH or ARCH($\infty $), APARCH, ARMA-GARCH and many others processes. To tackle this issue, we consider a penalized contrast based on the quasi-likelihood of the model. We provide sufficient conditions for the penalty term to ensure the consistency of the proposed procedure as well as the consistency and the asymptotic normality of the quasi-maximum likelihood estimator of the chosen model. We also propose a tool for diagnosing the goodness-of-fit of the chosen model based on a Portmanteau test. Monte-Carlo experiments and numerical applications on illustrative examples are performed to highlight the obtained asymptotic results. Moreover, using a data-driven choice of the penalty, they show the practical efficiency of this new model selection procedure and Portemanteau test.