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Improved Pena-Rodriguez portmanteau test

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  • Lin, Jen-Wen
  • McLeod, A.Ian

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  • Lin, Jen-Wen & McLeod, A.Ian, 2006. "Improved Pena-Rodriguez portmanteau test," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1731-1738, December.
    • Handle: RePEc:eee:csdana:v:51:y:2006:i:3:p:1731-1738
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    References listed on IDEAS

    as
    1. Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
    2. Pena D. & Rodriguez J., 2002. "A Powerful Portmanteau Test of Lack of Fit for Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 601-610, June.
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    Cited by:

    1. Li, Linyuan & Yao, Shan & Duchesne, Pierre, 2014. "On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 308-327.

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