Mixed Portmanteau Tests for Time-Series Models

This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply approximated by the sum of well-known portmanteau statistics. The finite-sample performance of the new test is compared with those of well-known tests through simulations

MoreLess

Year of publication:	2005
Authors:	Wong, Heung ; Ling, Shiqing
Publisher:	[S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Statistischer Test \| Statistical test

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details
Report error

Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014064460