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
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