Groupe d’études et de recherche en analyse des décisions


On the Asymptotic Distribution of the Residual Autocovariance Matrices in the Autoregressive Conditional Multinomial Model

The autoregressive conditional multinomial model describes vector time series of conditional probabilities, where the variable of interest is multinomial. In financial applications, such time series could consist of price changes that are assumed to have a finite support. These models have been introduced by Russell and Engle (2002). In this note, we derive the asymptotic distribution of the residual autocovariance matrices in this class of models. As an application of this result, a new test statistic for diagnostic checking is presented and its asymptotic distribution is established.

, 11 pages