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On the power of Portmanteau serial correlation tests

Fang, Yue; Martin, Michael; O'Neill, Terence; Roberts, Steven


This paper studies properties of the portmanteau statistic proposed by Box and Pierce [1] and its modification of Ljung and Box [2].We show that these portmanteau statistics are feasible analogs to optimal tests for the class of statistics which are linear combinations of consistent estimates of serial correlations. We find, however, that for sample sizes commonly encountered in practice, the efficiency loss in power of portmanteau statistics relative to optimal tests can be substantial,...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
Source: Journal of Statistical Computation and Simulation
DOI: 10.1080/10629360500108921


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