An Improvement of the Portmanteau Statistic

Naoya Katayama

Journal of Time Series Analysis, 2008, vol. 29, issue 2, 359-370

Abstract: Abstract. The portmanteau statistic is based on the first m‐residual autocorrelations, and is used for diagnostic checks on the adequacy of fit of a model. In this article, we propose a modified portmanteau statistic with a correction term that allows for the use of small values of m for the chi‐squared test. For this modification, we take a different approach to that suggested by Ljung [Biometrika (1986), Vol. 73, pp. 725–30]. Their empirical behaviour is clarified using asymptotic theory.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:2:p:359-370

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