-
Views
-
Cite
Cite
NEVILLE DAVIES, PAUL NEWBOLD, Some power studies of a portmanteau test of time series model specification, Biometrika, Volume 66, Issue 1, April 1979, Pages 153–155, https://doi.org/10.1093/biomet/66.1.153
- Share Icon Share
Abstract
SUMMARY
In this note we present simulation evidence on the power of a portmanteau statistic used to detect time series model misspecification. This is related to the loss in forecasting accuracy resulting from use of the incorrectly specified model. Our conclusion is that the statistic achieves a high level of success only when sample size is large.
This content is only available as a PDF.
© 1979 Biometrika Trust
Issue Section:
Miscellanea
You do not currently have access to this article.