A Comparative Study of Portmanteau Tests for Univariate Time Series Models

Sohail Chand, Shahid Kamal

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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DOI: http://dx.doi.org/10.18187/pjsor.v2i2.94

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Title

A Comparative Study of Portmanteau Tests for Univariate Time Series Models

Description

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.

Date

2006-07-01

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol 2. No. 2, July 2006



Print ISSN: 1816-2711

Electronic ISSN: 2220-5810