Portmanteau tests of randomness and Jenkins' variance-stabilizing transformation

DOI10.1016/0165-1765(95)00710-5zbMath0900.90163OpenAlexW1971601353MaRDI QIDQ672767

Ah-Boon Sim, Andy C. C. Kwan

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00710-5

zbMATH Keywords

randomnessportmanteau testsJenkins' variance-stabilizing transformationsample autocorrelations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

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A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series

Cites Work

• Generalized portmanteau statistics and tests of randomness
• 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
• An angular transformation for the serial correlation coefficient
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