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A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series

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  • Kwan, Andy C.C.
  • Sim, Ah-Boon
  • Wu, Yangru

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4BV4XKH-1/2/eea968c0955886c55a801942f579e1a7
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 48 (2005)
Issue (Month): 2 (February)
Pages: 391-413

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Handle: RePEc:eee:csdana:v:48:y:2005:i:2:p:391-413

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Nelson, Harold Jr. & Granger, C. W. J., 1979. "Experience with using the Box-Cox transformation when forecasting economic time series," Journal of Econometrics, Elsevier, vol. 10(1), pages 57-69, April.
  2. Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
  3. Granger, Clive W. J., 1992. "Forecasting stock market prices: Lessons for forecasters," International Journal of Forecasting, Elsevier, vol. 8(1), pages 3-13, June.
  4. Jeong, Jinook & Chung, Seoung, 2001. "Bootstrap tests for autocorrelation," Computational Statistics & Data Analysis, Elsevier, vol. 38(1), pages 49-69, November.
  5. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421.
  6. Dufour, Jean-Marie & Roy, Roch, 1985. "Some robust exact results on sample autocorrelations and tests of randomness," Journal of Econometrics, Elsevier, vol. 29(3), pages 257-273, September.
  7. 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.
  8. Kwan, Andy C. C. & Sim, Ah-Boon, 1996. "Portmanteau tests of randomness and Jenkins' variance-stabilizing transformation," Economics Letters, Elsevier, vol. 50(1), pages 41-49, January.
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Cited by:
  1. Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
  2. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.

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