A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jeong, Jinook & Chung, Seoung, 2001. "Bootstrap tests for autocorrelation," Computational Statistics & Data Analysis, Elsevier, vol. 38(1), pages 49-69, November.
- 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.
- Dufour, J.M. & Roy, R., 1984. "Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness," Cahiers de recherche 8412, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421.
- Granger, Clive W. J., 1992. "Forecasting stock market prices: Lessons for forecasters," International Journal of Forecasting, Elsevier, vol. 8(1), pages 3-13, June.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:48:y:2005:i:2:p:391-413. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.