Comparison of two modified portmanteau tests for model adequacy

DOI10.1016/0167-9473(92)90084-SzbMath0875.62230MaRDI QIDQ2563579

Thian S. Kheoh, A. Ian McLeod

Publication date: 10 November 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

diagnostic checkingmultivariate portmanteau testempirical power and significance level comparisonLi-McLeod modified portmanteau testtesting for whiteness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

A spectral density test for whiteness ⋮ A Test for Spectrum Flatness ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute ⋮ On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap

Uses Software

• MINITAB
• SPSS
• SAS
• BMDP

Cites Work

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• Some robust exact results on sample autocorrelations and tests of randomness
• Generalized portmanteau statistics and tests of randomness
• Diagnostic testing of univariate time series models
• The equivalence of two tests of time series model adequacy
• The existence of a non-negative solution of an ordinary differential equation arising in electromagnetic theory
• On a measure of lack of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• TESTS OF FIT IN TIME SERIES

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