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Approximate power of portmanteau tests for time series

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  • Battaglia, Francesco

Abstract

The power of the portmanteau tests is considered and an approximate expression is derived. The probability of rejecting the null hypothesis is expressed as a function of the residual correlations and the largest considered lag. Choice of the most powerful portmanteau test for a given series is then discussed.

Suggested Citation

  • Battaglia, Francesco, 1990. "Approximate power of portmanteau tests for time series," Statistics & Probability Letters, Elsevier, vol. 9(4), pages 337-341, April.
    • Handle: RePEc:eee:stapro:v:9:y:1990:i:4:p:337-341
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    Cited by:

    1. Xiao, Han & Wu, Wei Biao, 2019. "Portmanteau Test and Simultaneous Inference for Serial Covariances," IRTG 1792 Discussion Papers 2019-017, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

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