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An Improvement of the Portmanteau Statistic

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  • Naoya Katayama

Abstract

. The portmanteau statistic is based on the first m‐residual autocorrelations, and is used for diagnostic checks on the adequacy of fit of a model. In this article, we propose a modified portmanteau statistic with a correction term that allows for the use of small values of m for the chi‐squared test. For this modification, we take a different approach to that suggested by Ljung [Biometrika (1986), Vol. 73, pp. 725–30]. Their empirical behaviour is clarified using asymptotic theory.

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  • Naoya Katayama, 2008. "An Improvement of the Portmanteau Statistic," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 359-370, March.
    • Handle: RePEc:bla:jtsera:v:29:y:2008:i:2:p:359-370
    DOI: 10.1111/j.1467-9892.2007.00559.x
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    Cited by:

    1. Naoya Katayama, 2009. "On multiple portmanteau tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(5), pages 487-504, September.

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