A Powerful Portmanteau Test of Lack of Fit for Time Series
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Rodríguez, Julio, 2000. "A powerful portmanteau test of lack of fit for time series," DES - Working Papers. Statistics and Econometrics. WS 10133, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
References listed on IDEAS
- A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
- Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
- Scott D. Watkins & Patrick L. Anderson, 2007. "Introduction," Palgrave Macmillan Books, in: Scott D. Watkins & Patrick L. Anderson (ed.), The State Economic Handbook 2008 Edition, pages 1-3, Palgrave Macmillan.
- Santiago Velilla, 1994. "A Goodness‐Of‐Fit Test For Autoregressive Moving‐Average Models Based On The Standardized Sample Spectral Distribution Of The Residuals," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 637-647, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
- Escanciano, J. Carlos, 2006.
"Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models,"
Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
- Juan Carlos Escanciano, 2005. "Goodness-of-fit Tests for Linear and Non-linear Time Series Models," Faculty Working Papers 02/05, School of Economics and Business Administration, University of Navarra.
- Ke Zhu, 2016.
"Bootstrapping the portmanteau tests in weak auto-regressive moving average models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 463-485, March.
- Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
- Carnero, María Ángeles, 2003.
"Detecting level shifts in the presence of conditional heteroscedasticity,"
DES - Working Papers. Statistics and Econometrics. WS
ws036313, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Working Papers. Serie AD 2004-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Lin, Jen-Wen & McLeod, A.Ian, 2006. "Improved Pena-Rodriguez portmanteau test," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1731-1738, December.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004.
"Spurious And Hidden Volatility,"
Working Papers. Serie AD
2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, María Ángeles, 2004. "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS ws042007, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Heni Boubaker, 2015. "Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 551-574, December.
- Alonso, Andres M. & Maharaj, Elizabeth A., 2006.
"Comparison of time series using subsampling,"
Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2589-2599, June.
- Maharaj, Elizabeth Ann, 2005. "On the comparison of time series using subsampling," DES - Working Papers. Statistics and Econometrics. WS ws050702, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Julio, 2003. "A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities," DES - Working Papers. Statistics and Econometrics. WS ws036716, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
- Axel Bücher & Holger Dette & Florian Heinrichs, 2023. "A portmanteau-type test for detecting serial correlation in locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 255-278, July.
- Christian Gourieroux & Joann Jasiak, 2023.
"Generalized Covariance Estimator,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1315-1327, October.
- Christian Gourieroux & Joann Jasiak, 2021. "Generalized Covariance Estimator," Papers 2107.06979, arXiv.org.
- Duchesne, Pierre & Lafaye De Micheaux, Pierre, 2010. "Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 858-862, April.
- Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
- Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
- Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
- Tucker S. McElroy & Anindya Roy, 2022. "Model identification via total Frobenius norm of multivariate spectra," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 473-495, April.
- 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.
- Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2022. "Data-driven portmanteau tests for time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 675-698, September.
- Fahim Afzal & Pan Haiying & Farman Afzal & Asif Mahmood & Amir Ikram, 2021. "Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model," SAGE Open, , vol. 11(1), pages 21582440211, March.
- Nicolas Pesci & Jean-Philippe Aguilar & Victor James & Fabien Rouillé, 2022. "Inflation Forecasts and European Asset Returns: A Regime-Switching Approach," JRFM, MDPI, vol. 15(10), pages 1-20, October.
- Kokoszka, Piotr & Reimherr, Matthew & Wölfing, Nikolas, 2016. "A randomness test for functional panels," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 37-53.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zacharias Psaradakis & Marián Vávra, 2019.
"Portmanteau tests for linearity of stationary time series,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
- Marian Vavra, 2012. "Testing Non-linearity Using a Modified Q Test," Birkbeck Working Papers in Economics and Finance 1204, Birkbeck, Department of Economics, Mathematics & Statistics.
- Zacharias Psaradakis & Marian Vavra, 2016. "Portmanteau Tests for Linearity of Stationary Time Series," Working and Discussion Papers WP 1/2016, Research Department, National Bank of Slovakia.
- Zacharias Psaradakis & Marián Vávra, 2015. "Portmanteau Tests for Linearity of Stationary Time Series," Birkbeck Working Papers in Economics and Finance 1514, Birkbeck, Department of Economics, Mathematics & Statistics.
- Rossen Anja, 2016.
"On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 389-409, May.
- Rossen Anja, 2016. "On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 389-409, May.
- Rossen, Anja, 2011. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 113, Hamburg Institute of International Economics (HWWI).
- Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
- Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
- Pena, Daniel & Rodriguez, Julio, 2005. "Detecting nonlinearity in time series by model selection criteria," International Journal of Forecasting, Elsevier, vol. 21(4), pages 731-748.
- Sánchez, Ismael, 2009. "Graphical identification of TAR models," DES - Working Papers. Statistics and Econometrics. WS ws097723, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alagidede, Paul & Panagiotidis, Theodore, 2009.
"Modelling stock returns in Africa's emerging equity markets,"
International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
- Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
- Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
- Chen, Shyh-Wei & Xie, Zixiong, 2015. "Testing for current account sustainability under assumptions of smooth break and nonlinearity," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 142-156.
- de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
- Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005.
"Mean and variance causality between the Cyprus Stock Exchange and major equity markets,"
Working Papers
0501, University of Crete, Department of Economics.
- Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
- Tor Jacobson & Per Jansson & Anders Vredin & Anders Warne, 2001. "Monetary policy analysis and inflation targeting in a small open economy: a VAR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 487-520.
- Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2008.
"Inflation, exchange rates and PPP in a multivariate panel cointegration model,"
Econometrics Journal, Royal Economic Society, vol. 11(1), pages 58-79, March.
- Jacobson, Tor & Lyhagen, Johan & Larsson, Rolf & Nessén, Marianne, 2002. "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," Working Paper Series 145, Sveriges Riksbank (Central Bank of Sweden).
- Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2002. "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D4-2, International Conferences on Panel Data.
- Baur, Dirk & Jung, Robert C., 2006. "Return and volatility linkages between the US and the German stock market," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 598-613, June.
- Theodore Panagiotidis, 2010.
"Market efficiency and the Euro: the case of the Athens stock exchange,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 37(3), pages 237-251, July.
- Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University.
- Theodore Panagiotidis, 2008. "Market Efficiency and the Euro: The case of the Athens Stock exchange," Discussion Paper Series 2008_14, Department of Economics, University of Macedonia, revised Dec 2008.
- Theodore Panagiotidis, 2005. "Market Efficiency and the Euro: The case of the Athens Stock Exchange," Finance 0507022, University Library of Munich, Germany.
- Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University.
- Theodore Panagiotidis & Afroditi Triampella, 2006.
"Central Bank Independence and inflation: the case of Greece,"
Revista de Economía del Rosario, Universidad del Rosario, June.
- Theodore Panagiotidis & Afrodit Triampella, 2005. "Central Bank Independence and Inflation: The case of Greece," Discussion Paper Series 2005_7, Department of Economics, Loughborough University, revised Jul 2005.
- repec:cte:wsrepe:10721 is not listed on IDEAS
- Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan & Gkillas, Konstantinos, 2020.
"Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model,"
Energy Economics, Elsevier, vol. 88(C).
- Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta & Konstantinos Gkillas, 2019. "Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model," Working Papers 201918, University of Pretoria, Department of Economics.
- Dalla, Violetta & Giraitis, Liudas & Phillips, Peter C. B., 2022.
"Robust Tests For White Noise And Cross-Correlation,"
Econometric Theory, Cambridge University Press, vol. 38(5), pages 913-941, October.
- Violetta Dalla & Liudas Giraitis & Peter C.B. Phillips, 2019. "Robust Tests for White Noise and Cross-Correlation," Cowles Foundation Discussion Papers 2194, Cowles Foundation for Research in Economics, Yale University, revised Mar 2020.
- Violetta Dalla & Liudas Giraitis & Peter C. B. Phillips, 2020. "Robust Tests for White Noise and Cross-Correlation," Working Papers 906, Queen Mary University of London, School of Economics and Finance.
- Violetta Dalla & Liudas Giraitis & Peter C.B. Phillips, 2019. "Robust Tests for White Noise and Cross-Correlation," Cowles Foundation Discussion Papers 2194, Cowles Foundation for Research in Economics, Yale University.
- Theodore Panagiotidis, 2002. "Testing the assumption of Linearity," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-9.
- Moustfa Ismael Khaleel & Ahmed Younis Jabbar & Maha Kalai & Rima Aloulou & Kamel Helali, 2024. "An Applied Study of the Symmetric and Asymmetric Impact of Oil Prices and International Financial Markets on Economic Growth in Iraq," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 66-80, July.
- Zhuo Chen & Bo Yan & Hanwen Kang, 2022. "Dynamic correlation between crude oil and agricultural futures markets," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1798-1849, August.
- David Vidal-Tomás & Simone Alfarano, 2020.
"An agent-based early warning indicator for financial market instability,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 49-87, January.
- David Vidal-Tomás & Simone Alfarano, 2018. "An agent based early warning indicator for financial market instability," Working Papers 2018/12, Economics Department, Universitat Jaume I, Castellón (Spain).
- Vidal-Tomás, David & Alfarano, Simone, 2018. "An agent based early warning indicator for financial market instability," MPRA Paper 89693, University Library of Munich, Germany.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bes:jnlasa:v:97:y:2002:m:june:p:601-610. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.amstat.org/publications/jasa/index.cfm?fuseaction=main .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.