Simulation Studies of Multiple Portmanteau Tests - Collections

＜technical report＞
Simulation Studies of Multiple Portmanteau Tests

Creator	Author PID K003132 Creator Name Katayama, Naoya 片山, 直也カタヤマ, ナオヤ Affiliation Affiliation Name Department of Economic Engineering, Faculty of Economics, Kyushu University \| 九州大学大学院経済学研究院経済工学部門
Language	English
Publisher	Faculty of Economics, Kyushu University
Publisher	九州大学大学院経済学研究院
Date	2009-03-24
Source Title	Faculty of Economics Discussion Paper
Publication Type	Accepted Manuscript
Access Rights	open access
Related DOI	Discussion Paper ; 2009-4
Related DOI	Faculty of Economics Discussion Paper \|\| 2009-4 \|\| p1-57
Related DOI	http://www.econ.kyushu-u.ac.jp/
Related URI	Faculty of Economics Discussion Paper \|\| 2009-4 \|\| p1-57
Related URI	http://www.econ.kyushu-u.ac.jp/
Relation	Discussion Paper ; 2009-4
	Faculty of Economics Discussion Paper \|\| 2009-4 \|\| p1-57
	http://www.econ.kyushu-u.ac.jp/
Abstract	The portmanteau statistic based on the first m residual autocorrelations is used for diagnostic checks on the adequacy of fitting a model with varying m. Katayama (2008) proposed an approximation of t...he joint probability of multiple portmanteau tests with different degrees of freedom (DF). This distribution is easy to compute when all DF are even integers; its empirical behavior is clarified in terms of asymptotic theory. This paper presents detailed simulation study over a variety of ARMA(p, q) models and different m's to show the empirical sizes and powers of the proposed test.show more

File	FileType	Size	Views	Description
DP2009-04	pdf	1.26 MB	224

Record ID	14230
Peer-Reviewed	Unrefereed
Subject Terms	Autoregressive-moving average model
	Portmanteau test
	Residual autocorrelations
	Goodness-of-fit
Type	Discussion Paper
Created Date	2009.05.07
Modified Date	2019.08.30