On the robustness of Ljung-Box and mcleod-Li Q Tests: A simulation study

Economics Bulletin

Volumn 3, Issue 1, 2002, Pages

  Chen, Yi Ting ^a  

^a RESEARCH CENTER FOR HUMANITIES AND SOCIAL SCIENCES   (Taiwan)

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[No Author keywords available]

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EID: 84891102516     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article

References (13)

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10. Ljung, G.M. and G. E. P. Box (1978). On a measure of lack of fit in time series models, Biometrika, 65, 297-303.
11. Lobato, I., J. Nankervis, and N. E. Savin (2001). Testing for Autocorrelation Using a Modified Box-Pierce Q Test, International Economic Review, 42, 187-205.
12. Loretan, M. and P. C. B. Phillips (1994). Testing the covariance stationarity of heavy-tailed time series, Journal of Empirical Finance, 1, 211-248.
13. McLeod, A. I. and W. K. Li (1983). Diagnostic checking ARMA time series models using squaredresidual autocorrelations, Journal of Time Series Analysis, 4, 269-273.