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Details for article 9 of 17 found articles
| Title: |
On the choice of the number of residual autocovariances for the portmanteau test of multivariate autoregressive models |
| Author: |
Bender, Ralf. Grouven, Ulrich. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 22 (1993) nr. 1 pages 19-32 |
| Year: |
1993 |
| Contents: |
The multivariate portmanteau test proposed by Hosking (1980) for testing the adequacy of an autoregressive moving average model is based on the first s residual autocovariances of the fitted model.In practice a value for s is chosen in dependence on the sample size n, mostly s = 20 for n between 50 and 200. In this paper it will be shown by simulations that the usual choiceof s = 20 oftenleads to a significant deviation of the sample distribution of the test statistic Pm from the asymptotic X2 distribution. In the case of pure multivariate AR models the Kolmogorow-Smirnow test is used to find those values of s for which the sample distribution shows the best agreement with X2.In this manner s depends not only on the sample size n but also on the order of themodel p and the dimension m. A table for the best choice of s is given for n between 100 and 1000,p between 1 and 5 and m between 1 and 12. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 9 of 17 found articles
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