Sample partial autocorrelations and portmanteau tests for randomness

This article proposes a new portmanteau test based on sample partial autocorrelations. The test statistic is asymptotically χ2 under the null hypothesis of randomness. Simulation results indicate that the proposed test, which utilizes Anderson's mean and variance formulae of sample partial autocorrelations, outperforms the Ljung-Box test in terms of controlling test size and minimizing dispersion bias.

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Year of publication:	2003
Authors:	Kwan, A. C. C.
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 10.2003, 10, p. 605-609
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005471643