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Biometrika 1996 83(4):938-943; doi:10.1093/biomet/83.4.938
© 1996 by Biometrika Trust
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MISCELLANEA

On the finite-sample distribution of modified portmanteau tests for randomness of a Gaussian time series

ANDY C. C. KWAN and AH-BOON SIM

Department of Economics, Chinese University of Hong Kong Hong Kong
School of Banking and Finance, The University of New South Wales Sydney, Australia 2052

This paper proposes three modified portmanteau tests based on the applications of the Fisher (1921) and Hotelling (1953) transformations to sample autocorrelations. The test statistics are asymptotically chi-square. Our simulation results indicate that the empirical significance levels of the proposed tests are more reliable than the portmanteau tests of Box & Pierce (1970), Ljung & Box (1978) and Dufour & Roy (1986) when the sample size is small (15 ≤ n ≤ 40) and the number of sample autocorrelations is large (m ≥ 7).

Key Words: Gaussian time series • Fisher's and Hotelling's variance-stabilising transformations • Portmanteau test • Randomness • Sample autocorrelation


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