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Sample partial autocorrelations and portmanteau tests for randomness

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  • A. C. C. Kwan

Abstract

This article proposes a new portmanteau test based on sample partial autocorrelations. The test statistic is asymptotically χ2 under the null hypothesis of randomness. Simulation results indicate that the proposed test, which utilizes Anderson's mean and variance formulae of sample partial autocorrelations, outperforms the Ljung-Box test in terms of controlling test size and minimizing dispersion bias.

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  • A. C. C. Kwan, 2003. "Sample partial autocorrelations and portmanteau tests for randomness," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 605-609.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:10:p:605-609
    DOI: 10.1080/1350485032000125245
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    References listed on IDEAS

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    1. Oliver D. Anderson, 1993. "Exact General‐Lag Serial Correlation Moments And Approximate Low‐Lag Partial Correlation Moments For Gaussian White Noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(6), pages 551-574, November.
    2. Andy Kwan & Yangru Wu, 2005. "On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 133-139.
    3. Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 95-106, January.
    4. B. R. Clarke & E. J. Godolphin, 1982. "Comparative Power Studies For Goodness Of Fit Tests Of Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 141-151, May.
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