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Testing For White Noise In Time Series Models

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  • Franses, P. H.

Abstract

The new pure significance test for white noise proposed in the present paper is based on the estimated R2 of ah ARMA model fitted to reeiduals. A small empirical size and power investigation is carried out, and the latter seems to indicate that this test meets its purpose more than the portmanteau test.

Suggested Citation

  • Franses, P. H., 1990. "Testing For White Noise In Time Series Models," Econometric Institute Archives 272394, Erasmus University Rotterdam.
    • Handle: RePEc:ags:eureia:272394
    DOI: 10.22004/ag.econ.272394
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    References listed on IDEAS

    as
    1. Michael McAleer & C. R. McKenzie & A. D. Hall, 1988. "Testing Separate Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(2), pages 169-189, March.
    2. 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.
    3. 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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