Some power studies of a portmanteau test of time series model specification
Some power studies of a portmanteau test of time series model specification
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DOI：
10.1093/biomet/66.1.153
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发表时间：
1979-04
期刊：
影响因子：
2.7
通讯作者：
N. Davies;P. Newbold
中科院分区：
文献类型：
--
作者：
N. Davies;P. Newbold
SUMMARYIn this note we present simulation evidence on the power of a portmanteau statistic used to detect time series model misspecification. This is related to the loss in forecasting accuracy resulting from use of the incorrectly specified model. Our conclusion is that the statistic achieves a high level of success only when sample size is large.
