• Title of article

    Portmanteau tests of randomness and Jenkinsʹ variance-stabilizing transformation

  • Author/Authors

    Kwan، نويسنده , , Andy C. C.; Ah-Boon، نويسنده , , Sim ، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1996
  • Pages
    9
  • From page
    41
  • To page
    49
  • Abstract
    This paper proposes a new portmanteau test based on an application of the Jenkinsʹ variance-stabilizing transformation to the sample autocorrelations. Our simulation results indicate that the empirical significance levels of the proposed test are more accurate than those of the Ljung-Box and the Dufour-Roy portmanteau tests.
  • Keywords
    Jenkinsי variance-stabilizing transformation: Portmanteau tests , randomness , Sample autocorrelations
  • Journal title
    Economics Letters
  • Serial Year
    1996
  • Journal title
    Economics Letters
  • Record number

    434030