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Details for article 138 of 198 found articles
| Title: |
Sample partial autocorrelations and portmanteau tests for randomness |
| Author: |
Kwan, A. C. C. |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 10 (2003) nr. 10 pages 605-609 |
| Year: |
2003-08-15 |
| Contents: |
This article proposes a new portmanteau test based on sample partial autocorrelations. The test statistic is asymptotically ≤2 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. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 138 of 198 found articles
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