COMPARATIVE POWER STUDIES FOR GOODNESS OF FIT TESTS OF TIME SERIES MODELS

B. R. Clarke and E. J. Godolphin

Journal of Time Series Analysis, 1982, vol. 3, issue 3, 141-151

Abstract: Abstract. Power studies for three tests of fit, namely the classical test given by Whittle, the widely‐known test given by Ljung and Box, and the recent test given by Godolphin, are derived for the invertible time series models considered previously in an empirical study. The results demonstrate that it is possible to improve on the Ljung‐Box test by employing more empirically‐based alternatives. In particular, the test derived by Godolphin appears to be more powerful than the other tests. The results also suggest that the Whittle and Ljung‐Box tests are complementary, so that the combination of both may yield a sensitive test procedure.

Date: 1982
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