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|Title: ||A Small Sample Study of Goodness-of-fit Tests for Time Series Models|
|Authors: ||Chen, Willa W.|
Deo, Rohit S.
|Keywords: ||frequency domain|
|Issue Date: ||2000|
|Publisher: ||Stern School of Business, New York University|
|Series/Report no.: ||SOR-2000-8|
|Abstract: ||We study the small sample behaviour of two goodness-of-fit tests for time series models which
have been proposed recently in the literature. Both tests are generalizations of the popular Box-
Ljung-Pierce portmanteau test, one in the time domain and the other in the frequency domain.
The tests are found to be oversized under the null of white noise but undersized under other
null hypotheses. The cause for this effect is investigated and a finite sample correction proposed
which ameliorates this effect. It is found that the corrected versions of the tests have markedly
better size properties. The correction is also found to result in an overall increase in power which
can be significant in certain alternatives. Furthermore, the corrected tests also have uniformly
better power than the Box-Ljung-Pierce portmanteau test, unlike the uncorrected versions.|
|Appears in Collections:||IOMS: Statistics Working Papers|
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