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A Post-Sample Diagnostic Test for a Time Services Model

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  • M. N. Bhattacharyya
  • A. P. Andersen

    (University of Queensland. We acknowledge the kind suggestions and encouragement of C.W.J. Granger (University of California-San Diego) and P. Newbold (University of Nottingham); and computational assistance of G. Dengate.)

Abstract

A post-sample diagnostic test for judging the temporal stability of the Box-Jenkins time series models has been developed. The proposed test is based on the stochastic properties of the errors of the forecasts, at different leads, made from the same origin. Its application has been demonstrated in the analysis of a time series consisting of the monthly demand for in-place telephone services in Australia. An important alternative use of the test has also been indicated.

Suggested Citation

  • M. N. Bhattacharyya & A. P. Andersen, 1976. "A Post-Sample Diagnostic Test for a Time Services Model," Australian Journal of Management, Australian School of Business, vol. 1(1), pages 33-56, April.
    • Handle: RePEc:sae:ausman:v:1:y:1976:i:1:p:33-56
    DOI: 10.1177/031289627600100102
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    References listed on IDEAS

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    1. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
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