Mixed Portmanteau Tests for Time-Series Models

11 Pages Posted: 26 Jul 2005

See all articles by Heung Wong

Heung Wong

Hong Kong Polytechnic University

Shiqing Ling

Hong Kong University of Science & Technology (HKUST) - Department of Mathematics

Abstract

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.

Suggested Citation

Wong, Heung and Ling, Shiqing, Mixed Portmanteau Tests for Time-Series Models. Journal of Time Series Analysis, Vol. 26, No. 4, pp. 569-579, July 2005. Available at SSRN: https://ssrn.com/abstract=736422

Heung Wong (Contact Author)

Hong Kong Polytechnic University ( email )

Hung Hom, Kowloon
Hong Kong
(852) 2766 5111, ext. 6942 (Phone)

Shiqing Ling

Hong Kong University of Science & Technology (HKUST) - Department of Mathematics

Rm. 3461, Lift 25-26
Clear Water Bay
Kowloon
Hong Kong

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