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Partial sums of lagged cross-products of AR residuals and a test for white noise

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  • Jan Gooijer

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  • Jan Gooijer, 2008. "Partial sums of lagged cross-products of AR residuals and a test for white noise," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 567-584, November.
    • Handle: RePEc:spr:testjl:v:17:y:2008:i:3:p:567-584
    DOI: 10.1007/s11749-007-0058-6
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    References listed on IDEAS

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    1. 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.
    2. Andy C.C. Kwan & Yangru Wu, 2003. "A Re-examination of the Finite-Sample Properties of Pena and Rodriguez's Portmanteau Test of Lack of Fit for Time Series," Departmental Working Papers _157, Chinese University of Hong Kong, Department of Economics.
    3. De Gooijer, Jan G & MacNeill, Ian B, 1999. "Lagged Regression Residuals and Serial-Correlation Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 236-247, April.
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