On the power of Portmanteau serial correlation tests

DOI10.1080/10629360500108921MaRDI QIDQ5475366zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3141625 (Why is no real title available?)
• Bartlett's formulae -- closed forms and recurrent equations
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• GMM tests for the Katz family of distributions
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• On a measure of lack of fit in time series models
• Rates of Convergence of Estimates and Test Statistics
• Testing the adequacy of a time series model
• The Approximate Slopes of Econometric Tests
• Time series: theory and methods.

Cited in

(12)

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

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