TESTING FOR WHITE NOISE IN TIME SERIES MODELS

Philip Hans Franses

No 272394, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: The new pure significance test for white noise proposed in the present paper is based on the estimated R2 of ah ARMA model fitted to reeiduals. A small empirical size and power investigation is carried out, and the latter seems to indicate that this test meets its purpose more than the portmanteau test.

Keywords: Agricultural and Food Policy; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Pages: 14
Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272394

DOI: 10.22004/ag.econ.272394

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