A note on the Ljung--Box--Pierce portmanteau statistic with missing data

The overall test for lack of fit for time series models proposed by Box and Pierce (1970) and Ljung and Box (1978) is modified to include the case when observations are missing. The missing data mechanism considered here is general and nonparametric.

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Year of publication:	1992
Authors:	Stoffer, David S. ; Toloi, Clélia M. C.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 13.1992, 5, p. 391-396
Publisher:	Elsevier
Keywords:	ARMA models missing observations residual autocorrelation test for lack of fit

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138352