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Biometrika 1979 66(1):153-155; doi:10.1093/biomet/66.1.153
© 1979 by Biometrika Trust
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Miscellanea

Some power studies of a portmanteau test of time series model specification

NEVILLE DAVIES and PAUL NEWBOLD

Department of Mathematical Sciences, Trent Polytechnic Nottingham
Department of Mathematics, University of Nottingham

In 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.

Key Words: Diagnostic checking • Portmanteau test • Specification error • Time series analysis


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