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Comparative Power Studies For Goodness Of Fit Tests Of Time Series Models

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  • B. R. Clarke
  • E. J. Godolphin

Abstract

. Power studies for three tests of fit, namely the classical test given by Whittle, the widely‐known test given by Ljung and Box, and the recent test given by Godolphin, are derived for the invertible time series models considered previously in an empirical study. The results demonstrate that it is possible to improve on the Ljung‐Box test by employing more empirically‐based alternatives. In particular, the test derived by Godolphin appears to be more powerful than the other tests. The results also suggest that the Whittle and Ljung‐Box tests are complementary, so that the combination of both may yield a sensitive test procedure.

Suggested Citation

  • 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.
    • Handle: RePEc:bla:jtsera:v:3:y:1982:i:3:p:141-151
    DOI: 10.1111/j.1467-9892.1982.tb00336.x
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    Cited by:

    1. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. 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.
    3. Bierens, H.J. & Broersma, L., 1990. "The relation between unemployment and interest rate : some empirical evidence," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. Franses, P. H., 1990. "Testing For White Noise In Time Series Models," Econometric Institute Archives 272394, Erasmus University Rotterdam.

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