A Comparative Study of Portmanteau Tests for Univariate Time Series Models

A Comparative Study of Portmanteau Tests for Univariate Time Series Models

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Article ID: iaor20118398
Volume: 2
Issue: 2
Start Page Number: 94
End Page Number: 94
Publication Date: Jul 2006
Journal: Pakistan Journal of Statistics and Operation Research
Authors: ,
Keywords: simulation: applications
Abstract:

Time series model diagnostic checking is the most important stage of time series model building. In this paper the comparison among several suggested diagnostic tests has been made using the simulation time series data.

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