Approximate power of portmanteau tests for time series

Francesco Battaglia

Statistics & Probability Letters, 1990, vol. 9, issue 4, 337-341

Abstract: The power of the portmanteau tests is considered and an approximate expression is derived. The probability of rejecting the null hypothesis is expressed as a function of the residual correlations and the largest considered lag. Choice of the most powerful portmanteau test for a given series is then discussed.

Keywords: Autoregressive; moving; average; models; Box--Pierce; Ljung--Box; tests; residual; autocorrelations (search for similar items in EconPapers)
Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(90)90143-U
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:9:y:1990:i:4:p:337-341

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().