Improved multivariate portmanteau test

By Esam Mahdi, A. Ian McLeod. 2012

73 citations recorded by the source corpus.

A new portmanteau diagnostic test for vector autoregressive moving average (VARMA) models that is based on the determinant of the standardized multivariate residual autocorrelations is derived. The new test statistic may be considered an extension of the univariate portmanteau test statistic suggested by Peňa and Rodríguez (2002) . The asymptotic distribution of the test statistic is derived as well as a chi‐square approximation. However, the Monte–Carlo test is recommended unless the series is very long. Extensive simulation experiments demonstrate the usefulness of this test as well as its improved power performance compared to widely used previous multivariate portmanteau diagnostic check. Two illustrative applications are given.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/adf1f59f49bcaa2faf5630305ca362ded4af8857

Citations in the corpus

• New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing (2012, unknown): “We see in Table 1 that the statistic of Mahdi and McLeod (2012) tends to be conservative.”