On the choice of the number of residual autocovariances for the portmanteau test of multivariate autoregressive models
作者:
Ralf. Bender,
Ulrich. Grouven,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1993)
卷期:
Volume 22,
issue 1
页码: 19-32
ISSN:0361-0918
年代: 1993
DOI:10.1080/03610919308813079
出版商: Marcel Dekker, Inc.
关键词: multivariate autoregressive model;time series model checking;portmanteau test;number of residual autocovariances;simulation
数据来源: Taylor
摘要:
The multivariate portmanteau test proposed by Hosking (1980) for testing the adequacy of an autoregressive moving average model is based on the first s residual autocovariances of the fitted model.In practice a value for s is chosen in dependence on the sample size n, mostly s = 20 for n between 50 and 200. In this paper it will be shown by simulations that the usual choiceof s = 20 oftenleads to a significant deviation of the sample distribution of the test statistic Pmfrom the asymptotic X2distribution. In the case of pure multivariate AR models the Kolmogorow-Smirnow test is used to find those values of s for which the sample distribution shows the best agreement with X2.In this manner s depends not only on the sample size n but also on the order of themodel p and the dimension m. A table for the best choice of s is given for n between 100 and 1000,p between 1 and 5 and m between 1 and 12.
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