Portmanteau tests of randomness and Jenkins' variance-stabilizing transformation

Economics Letters

Volumn 50, Issue 1, 1996, Pages 41-49

  Kwana, Andy C C ^a   Sim, Ah Boon ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Jenkins' variance stabilizing transformation; Portmanteau tests; Randomness; Sample autocorrelations

Indexed keywords

EID: 0029684830     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00710-5     Document Type: Article

References (8)

1. Anderson, O.D., 1982, Sample serial correlations from ARIMA process, in: O.D. Anderson and M.R. Perryman, eds., Applied time series analysis (North-Holland, Amsterdam), 5-14.
2. Box, G.E.P. and D.A. Pierce, 1970, Distribution of residual autocorrelation in autpregressive-integrated moving average time series models, Journal of the American Statistical Association 65, 1509-1526.
3. Davies, N., C.M. Triggs and P. Newbold, 1977, Significance levels of the Box-Pierce portmanteau statistics in finite samples, Biometrika 64, 517-522.
4. Dufour, J.-M. and R. Roy, 1986, Generalized portmanteau statistics and tests of randomness, Communications in Statistics: Theory and Methods 15, 2953-2972.
5. Jenkins, G.M., 1954, An angular transformation for the serial correlation coefficient, Biometrika 41, 261-265.
6. Jenkins, G.M., 1956, Tests of hypotheses in the linear autoregressive model, II, Biometrika 43, 186-199.
7. Johnson, N.I. and S. Kotz, 1970, Continuous univariate distributions (Houghton Mifflin Company, Boston, MA).
8. Ljung, G.M. and G.E.P. Box 1978, On a measure of lack of fit in time series models, Biometrika 65, 297-303.