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Biometrika 1997 84(3):733-736; doi:10.1093/biomet/84.3.733
© 1997 by Biometrika Trust
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MISCELLANEA

Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p, q) model

C.C. KWAN KWAN and YANGRU WU

Department of Economics, The Chinese University of Hong Kong Shatin, Hong Kong e-mail: b643766{at}mailserv.cuhk.edu.hk
Department of Finance, Rutgers University Newark, New Jersey 07102-1895, U.S.A. e-mail: ywu{at}wvu.edu

This note investigates the finite-sample performance of Monti's test, paying special attention to its estimated sizes and empirical powers. Our simulation results indicate that (i) the test size can be affected by the choice of the number of residual partial autocorrelations, m, and (ii) the empirical powers of the Monti and the Ljung-Box tests are similar in the cases of both seasonal and nonseasonal data if m is properly chosen.

Key Words: Autoregressive-moving average model • Empirical power • Empirical significance level • Residual autocorrelation • Residual partial autocorrelation.


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