Faculty Digital Archive

Archive@NYU >
Stern School of Business >
IOMS: Statistics Working Papers >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/14793

Title: A Small Sample Study of Goodness-of-fit Tests for Time Series Models
Authors: Chen, Willa W.
Deo, Rohit S.
Keywords: frequency domain
portmanteau test
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.
URI: http://hdl.handle.net/2451/14793
Appears in Collections:IOMS: Statistics Working Papers

Files in This Item:

File Description SizeFormat
SOR-2000-8.pdf397.69 kBAdobe PDFView/Open

Items in Faculty Digital Archive are protected by copyright, with all rights reserved, unless otherwise indicated.


The contents of the FDA may be subject to copyright, be offered under a Creative Commons license, or be in the public domain.
Please check items for rights statements. For information about NYU’s copyright policy, see http://www.nyu.edu/footer/copyright-and-fair-use.html 
Valid XHTML 1.0 | CSS