A Small Sample Study of Goodness-of-Fit Tests for Time Series Models

15 Pages Posted: 31 Oct 2008

See all articles by Willa W. Chen

Willa W. Chen

Texas A&M University - Department of Statistics

Rohit Deo

Stern School of Business, New York University

Date Written: 2000

Abstract

We study the small sample behaviour of two goodness-of-fit tests for time series models whichhave been proposed recently in the literature. Both tests are generalizations of the popular Box-Ljung-Pierce portmanteau test, one in the time domain and the other in the frequency domain.The tests are found to be oversized under the null of white noise but undersized under othernull hypotheses. The cause for this effect is investigated and a finite sample correction proposedwhich ameliorates this effect. It is found that the corrected versions of the tests have markedlybetter size properties. The correction is also found to result in an overall increase in power whichcan be significant in certain alternatives. Furthermore, the corrected tests also have uniformlybetter power than the Box-Ljung-Pierce portmanteau test, unlike the uncorrected versions.

Keywords: frequency domain, portmanteau test

Suggested Citation

Chen, Willa W. and Deo, Rohit, A Small Sample Study of Goodness-of-Fit Tests for Time Series Models (2000). Statistics Working Papers Series, Vol. , pp. -, 2000. Available at SSRN: https://ssrn.com/abstract=1290971

Willa W. Chen (Contact Author)

Texas A&M University - Department of Statistics ( email )

155 Ireland Street
447 Blocker
College Station, TX 77843
United States

Rohit Deo

Stern School of Business, New York University ( email )

44 West Fourth Street
New York, NY 10012
United States

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