A comparative study of the finite-sample distribution of some portmanteau tests for univariate time series models

Communications in Statistics Part B: Simulation and Computation

Volumn 25, Issue 4, 1996, Pages 867-904

  Kwan, Andy C C ^a   Wu, Yangru ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b WEST VIRGINIA UNIVERSITY   (United States)

Author keywords

ARMA models; Empirical powers; Empirical significance levels; Finite sample distribution; Portmanteau tests; Seasonal data

Indexed keywords

EID: 1542428030     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610919608813348     Document Type: Article

References (26)

1. Abraham, B. and J. Ledolter (1983). Statistical Methods for Forecasting, New York, Wiley.
2. Ansley, C.F. (1979). "An Algorithm for the Exact Likelihood of a Mixed Autoregressive-Moving Average Process,"Biometrika, 66, 59-65.
3. Ansley, C.F. and Newbold, P. (1979). "On the Finite Sample Distribution of Residual Autocorrelations in Autoregressive-Moving Average Models," Biometrika, 66, 547-553.
4. Bartlett, M.S. (1946). "On the Theoretical Specification and Sampling Properties of Autocorrelated Time-Series,"Supplement to the Journal of the Royal Statistical Society, 8, 27-41.
5. Bera, A.K. and Newbold, P. (1988). "Checks of Model Adequacy for Univariate Time Series Models and their Applications to Econometric Relationships: Comment,"Econometric Reviews, 7, 43-48.
6. Box, G.E.P. (1954). "Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I: Effect of Inequality of Variance in the One-Way Classification,"Annals of Mathematical Statistics, 25, 290-302.
7. Box, G.E.P. and Jenkins, G.M. (1976). Time Series Analysis: Forecasting and Control, 2nd edition, San Francisco: Holden Day.
8. Box, G.E.P. and Pierce, D.A. (1970). "Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models," Journal of the American Statistical Association, 65, 1509-1526.
9. Clarke, B. R. and Godolphin, E. J. (1982). "Comparative Power Studies for Goodness of Fit Tests of Time Series Models,"Journal of Time Series Analysis, 3, 141-151.
10. Davies, N. and Newbold, P. (1979). "Some Power Studies of a Portmanteau Test of Time Series Model Specification," Biometrika, 66, 153-155.
11. Davies, N., Triggs, C. M. and Newbold, P. (1977). "Significance Levels of the Box-Pierce Portmanteau Statistic in Finite Samples." Biometrika, 64, 517-522.
12. Dufour, J.-M. and Roy, R. (1985). "Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness,"Journal of Econometrics, 29, 257-273.
13. Dufour, J.-M. and Roy, R. (1986). "Generalized Portmanteau Statistics and Tests of Randomness," Communications in Statistics Theory and Methods, 15, 2953-2972.
14. Dufour, J.-M. and Roy, R. (1989). "Corrigendum," Journal of Econometrics, 41, 279-281.
15. Godfrey, L. G. and Tremayne, A.R. (1988). "Checks of Model Adequacy for Univariate Time Series Models and their Applications to Econometric Relationships,"Econometrics Reviews, 7, 1-42.
16. Hall, A.D. and McAleer, M. (1989). "A Monte Carlo Study of some Tests of Model Adequacy in Time Series Analysis," Journal of Business and Economic Statistics, 7, 95-106.
17. Hosking, J.R.M. (1980). "Lagrange-Multiplier Tests of Time Series Models,"Journal of the Royal Statistical Society, B42, 170-181.
18. Kwan, A.C.C. (1993). "A Note on the Finite-Sample Distribution of Lagrange Multiplier Tests for Univariate Time Series Models,"Communications in Statistics - Simulation and Computation, 11, 1135-1160.
19. Kwan, A.C.C. and Sim, A.-B. (1988). "Generalized Portmanteau Statistics and Tests of Randomness: A Note on Their Applications to Residuals from a Fitted model," Economics Letters, 26, 341-347.
20. Ljung, G.M. (1986). "Diagnostic Testing of Univariate Time Series Models," Biometrika, 73, 725-730.
21. Ljung, G.M. and Box, G.E.P. (1978). "On a Measure of Lack of Fit in Time Series Models," Biometrika, 65, 297-303.
22. McAleer, M., McKenzie, C.R. and Hall, A.D. (1988). "Testing Separate Time Series Models," Journal of Time Series Analysis, 9, 169-189.
23. McLeod, A. J. (1978). "On the Distribution of Residual Autocorrelations in Box-Jenkins Models." Journal of the Royal Statistical Society, B40, 296-302.
24. Moran, P.A.P. (1948). "Some Theorems on Time Series, II: The Significance of the Serial Correlation Coefficient." Biometrika, 35, 255-260.
25. Newbold, P. (1974). "The Exact Likelihood Function for a Mixed Autoregressive-Moving Average Process," Biometrika, 61, 423-426.
26. Newbold, P. (1980). "The Equivalence of Two Tests of Time Series Model Adequacy." Biometrika, 67, 463-465.