Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p, q) model

• 成果类型: Article
• 署名作者: Kwan, ACC; Wu, YR
• 署名单位: Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/84.3.733
• 发表日期: 1997
• 页码: 733736
• 关键词: time-series models

摘要

This note investigates the finite-sample performance of Monti's test, paying special attention to its estimated sizes and empirical powers. Our simulation results indicate that (i) the test size can be affected by the choice of the number of residual partial autocorrelations, m, and (ii) the empirical powers of the Monti and the Ljung-Box tests are similar in the cases of both seasonal and non-seasonal data if m is properly chosen.