Download:
|
by Roberto Baragona, Francesco Battaglia
http://ser.sta.uniroma1.it/cofin98/Rt3-99.ps
Add To MetaCart
Abstract:
Portmanteau tests are considered that involve ordinary, partial and inverse autocorrelation functions. A decomposition of the ordinary autocorrelation coefficient forms the basis on which the introduction of new tests is motivated and the meaning of existing ones is highlighted. We discuss their asymptotic distributions and provide some empirical evidence about their deviation from values obtained even in the presence of samples of rather large size. Similar findings were reported already in the literature about the portmanteau tests based on ordinary and partial autocorrelations. Tables of some percentage points computed by means of a Monte Carlo simulation experiment are included that may be used for both testing randomness of a given time series and diagnostic checking of residuals from an entertained model. Outcomes are given on significance levels and power of the testing procedures based on simulated time series and comparison with results provided with from previous works are considered. 2
Citations
|
734
|
Reinsel, Time Series Analysis: Forecasting and Control (Third Edition
– Box, Jenkins, et al.
- 1994
|
|
57
|
On a measure of lack of fit in time series models
– Ljung, Box
- 1978
|
|
55
|
A Note on the Generation of Random Normal Deviates
– Box, Muller
- 1958
|
|
47
|
Statistical Analysis of Stationary Time Series
– GRENANDER, M
- 1957
|
|
37
|
Distribution of Residual Autocorrelation in AutoregressibeIntergrated Moving Average Models
– Box, Pierce
- 1970
|
|
29
|
An efficient and portable pseudorandom number generator
– Wichmann, Hill
- 1982
|
|
10
|
The inverse autocorrelations of a time series and their applications
– Cleveland
- 1972
|
|
3
|
Autoregressive and window estimates of the inverse correlation function
– Bhansali
- 1980
|
|
2
|
On the estimation of the inverse correlation function
– Battaglia
- 1988
|
|
2
|
Asymptotic distribution of the autoregressive estimates of the inverse correlation function
– Bhansali
- 1984
|
|
2
|
Inverse Autocorrelations
– Chatfield
- 1979
|
|
2
|
Generalized portmanteau statistics and tests of randomness
– Dufour, Roy
- 1986
|
|
2
|
A proposal for a residual autocorrelation test in linear models
– Monti
- 1994
|
|
2
|
Spectral Analysis of Time Series, Vol. 1 : Univariate Series, London
– Priestley
- 1981
|
|
2
|
The estimation of spectrum, inverse spectrum and inverse autocovariances of a stationary time series
– Rao, T, et al.
- 1989
|
|
1
|
Exact general-lag serial correlation moments and approximate low-lag partial correlation moments for normal white noise
– Anderson
- 1993
|
|
1
|
Higher order moments of sample autocovariances and sample autocorrelations from an independent time series
– Anderson, Chen
- 1996
|
|
1
|
Testing time series for interpolability and whiteness
– Baragona, Battaglia
- 1997
|
|
1
|
Approximate power of portmanteau tests for time series
– Battaglia
- 1990
|
|
1
|
The percentage points of the normal distribution
– Beasley, Springer
- 1977
|
|
1
|
Checks of model adequacy for univariate time series models and their applications to econometric relationships: comment, " Econometric Reviews,7
– Bera, Newbold
- 1988
|
|
1
|
The percentage points of the c distribution
– Best, Roberts
- 1975
|
|
1
|
The approximate distribution of partial serial correlation coefficients calculated from residuals from regression on Fourier series
– Durbin
- 1980
|
|
1
|
Introduction to Statistical Time Series (2 nd
– Fuller
- 1996
|
|
1
|
A table of some percentage points of the distribution of a difference between independent chi-square variables
– Hanumara, Barry
- 1978
|
|
1
|
Lagrange-multiplier Tests of Time-series Models
– Hosking
- 1980
|
|
1
|
A characterization of the inverse autocorrelation function
– Kanto
- 1984
|
|
1
|
A comparative study of the finite-sample distribution of some portmanteau tests for univariate time series models
– Kwan, Wu
- 1996
|
|
1
|
Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA(p,q) model
– Kwan, Wu
- 1997
|
|
1
|
Diagnostic testing of univariate time series models
– Ljung
- 1986
|
|
1
|
La funzione di autocorrelazione inversa nell'analisi delle serie temporali, Tesi di Laurea, Facolt di Scienze Statistiche, Universit di
– Luzi
- 1985
|
|
1
|
Some theorems on time series II: the significance of the serial correlation coefficient
– Moran
- 1948
|
|
1
|
On the distributions of the differences between the estimated autocorrelations and partial autocorrelations at the same lag
– Pukkila
- 1984
|
|
1
|
us denote by ri # k the least squares estimate of the inverse autocorrelation (Battaglia
– Let
- 1988
|
