On the power of Portmanteau serial correlation tests

DOI10.1080/10629360500108921zbMATH Open1090.62094OpenAlexW2004660449MaRDI QIDQ5475366FDOQ5475366

Steven Roberts, Michael A. Martin, Terence J. O'Neill, Yue Fang

Publication date: 16 June 2006

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360500108921

zbMATH Keywords

tablesserial correlationlocal poweroptimal testportmanteau statisticBahadur approximate slope

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Title not available (Why is that?)
• Time series: theory and methods.
• On a measure of lack of fit in time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• The Approximate Slopes of Econometric Tests
• Rates of Convergence of Estimates and Test Statistics
• Bartlett's formulae -- closed forms and recurrent equations
• GMM tests for the Katz family of distributions
• Testing the adequacy of a time series model

Cited In (2)

• Portmanteau tests based on quadratic forms in the autocorrelations
• On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap

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