On the power of Portmanteau serial correlation tests

DOI10.1080/10629360500108921zbMATH Open1090.62094OpenAlexW2004660449MaRDI QIDQ5475366FDOQ5475366

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

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

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• Portmanteau tests based on quadratic forms in the autocorrelations

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

• Time series: theory and methods.
• Title not available (Why is that?)
• 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 (12)

• A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
• An automatic portmanteau test for serial correlation
• Improved Peňa-Rodriguez portmanteau test
• A new look at portmanteau tests
• The multiple testing problem for Box-Pierce statistics
• Bootstrapping the portmanteau tests in weak auto-regressive moving average models
• Systematic approach for portmanteau tests in view of the Whittle likelihood ratio
• Sum of squared ACF and the Ljung-Box statistics
• 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
• A power comparison between autocorrelation based tests
• Portmanteau autocorrelation tests under \(q\)-dependence and heteroskedasticity

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