Advanced search
Publication Cover
Journal of the American Statistical Association Volume 97, 2002 - Issue 458
Submit an article Journal homepage
286
Views
82
CrossRef citations to date
0
Altmetric
Primary Article

A Powerful Portmanteau Test of Lack of Fit for Time Series

Daniel Peña Daniel Peña and Julio Rodríguez are with the Department of Statistics and Econometrics, University Carlos III of Madrid, Calle Madrid 126, CP 28903, Getafe, Madrid, Spain or. This research has been sponsored by Ministerio de Ciecia y Techología (Spain) under project BEC-2000-0167 and by the Cátedra Banco BVA de Calidad. The authors are very grateful to Andrés Alonso for many stimulating discussions, to Mike Wiper and Victor Yohai for their help with the final draft, and to an associate editor and a referee for very helpful comments.
&
Julio Rodríguez Daniel Peña and Julio Rodríguez are with the Department of Statistics and Econometrics, University Carlos III of Madrid, Calle Madrid 126, CP 28903, Getafe, Madrid, Spain or. This research has been sponsored by Ministerio de Ciecia y Techología (Spain) under project BEC-2000-0167 and by the Cátedra Banco BVA de Calidad. The authors are very grateful to Andrés Alonso for many stimulating discussions, to Mike Wiper and Victor Yohai for their help with the final draft, and to an associate editor and a referee for very helpful comments.
Pages 601-610 | Published online: 31 Dec 2011

Citations (82)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (17)

Christian Gourieroux & Joann Jasiak. (2022) Generalized Covariance Estimator. Journal of Business & Economic Statistics 0:0, pages 1-13.
Read now
Esam Mahdi & Thomas J. Fisher. (2022) Bootstrapping a powerful mixed portmanteau test for time series. Journal of Applied Statistics 0:0, pages 1-26.
Read now
Zequn Sun & Thomas J. Fisher. (2021) Testing for correlation between two time series using a parametric bootstrap. Journal of Applied Statistics 48:11, pages 2042-2063.
Read now
Shiqing Ling, Ruey S. Tsay & Yaxing Yang. (2021) Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data. Journal of Business & Economic Statistics 39:1, pages 136-147.
Read now
Linh Phuong Catherine Do, Štefan Lyócsa & Peter Molnár. (2019) Impact of wind and solar production on electricity prices: Quantile regression approach. Journal of the Operational Research Society 70:10, pages 1752-1768.
Read now
G. Dazi, M. Azimmohseni & F. Yaghmaie. (2019) Rank-based statistics for testing the whiteness hypothesis of time series. Communications in Statistics - Simulation and Computation 48:8, pages 2452-2466.
Read now
P. Muhammed Anvar & N. Balakrishna. (2018) Some weighted mixed portmanteau tests for diagnostic checking in linear time series models. Journal of Statistical Computation and Simulation 88:15, pages 3000-3017.
Read now
Roberto Baragona, Francesco Battaglia & Domenico Cucina. (2018) Portmanteau tests based on quadratic forms in the autocorrelations. Communications in Statistics - Theory and Methods 47:17, pages 4355-4374.
Read now
Mhamed-Ali El-Aroui & Olivier Gaudoin. (2018) Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study. Communications in Statistics - Simulation and Computation 47:3, pages 747-761.
Read now
Esam Mahdi. (2017) Kernel-based portmanteau diagnostic test for ARMA time series models. Cogent Mathematics 4:1.
Read now
Michael W. Robbins & Thomas J. Fisher. (2015) Cross-Correlation Matrices for Tests of Independence and Causality Between Two Multivariate Time Series. Journal of Business & Economic Statistics 33:4, pages 459-473.
Read now
Colin M. Gallagher, Thomas J. Fisher & Jie Shen. (2015) A Cauchy estimator test for autocorrelation. Journal of Statistical Computation and Simulation 85:6, pages 1264-1276.
Read now
Yunwei Cui & Rongning Wu. (2014) A Portmanteau Test for ARMA Processes with Infinite Variance. Communications in Statistics - Simulation and Computation 43:3, pages 597-614.
Read now
K. Seetharaman & N. Palanivel. (2013) Texture characterization, representation, description, and classification based on full range Gaussian Markov random field model with Bayesian approach. International Journal of Image and Data Fusion 4:4, pages 342-362.
Read now
ThomasJ. Fisher & ColinM. Gallagher. (2012) New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing. Journal of the American Statistical Association 107:498, pages 777-787.
Read now
M. Herrera, J.C. García-Díaz, J. Izquierdo & R. Pérez-García. (2011) Municipal Water Demand Forecasting: Tools for Intervention Time Series. Stochastic Analysis and Applications 29:6, pages 998-1007.
Read now
Sangyeol Lee, Eunhee Kim & Youngjin Kim. (2007) Diagnostic test for unstable autoregressive models. Statistics 41:3, pages 181-201.
Read now

Articles from other publishers (65)

Daniel Peña & Ruey S. Tsay. (2023) A testing approach to clustering scalar time series. Journal of Time Series Analysis 44:5-6, pages 667-685.
Crossref
Axel Bücher, Holger Dette & Florian Heinrichs. (2023) A portmanteau-type test for detecting serial correlation in locally stationary functional time series. Statistical Inference for Stochastic Processes 26:2, pages 255-278.
Crossref
Tucker S McElroy & Anindya Roy. (2023) Model identification via total Frobenius norm of multivariate spectra. Journal of the Royal Statistical Society Series B: Statistical Methodology.
Crossref
Sanae Rujivan, Athinan Sutchada, Kittisak Chumpong & Napat Rujeerapaiboon. (2023) Analytically Computing the Moments of a Conic Combination of Independent Noncentral Chi-Square Random Variables and Its Application for the Extended Cox–Ingersoll–Ross Process with Time-Varying Dimension. Mathematics 11:5, pages 1276.
Crossref
淇铭 孙. (2023) Comparative Study of Ljung-Box Test and Its Improved Methods. Advances in Applied Mathematics 12:04, pages 1884-1896.
Crossref
Nicolas Pesci, Jean-Philippe Aguilar, Victor James & Fabien Rouillé. (2022) Inflation Forecasts and European Asset Returns: A Regime-Switching Approach. Journal of Risk and Financial Management 15:10, pages 475.
Crossref
Roberto Baragona, Francesco Battaglia & Domenico Cucina. (2022) Data-driven portmanteau tests for time series. TEST 31:3, pages 675-698.
Crossref
Masoomeh Forughi, Zohreh Shishebor & Atefeh Zamani. (2021) Portmanteau tests for generalized integer-valued autoregressive time series models. Statistical Papers 63:4, pages 1163-1185.
Crossref
Sidy Danioko, Jianwei Zheng, Kyle Anderson, Alexander Barrett & Cyril S. Rakovski. (2022) A Novel Correction for the Adjusted Box-Pierce Test. Frontiers in Applied Mathematics and Statistics 8.
Crossref
Tucker S. McElroy & Anindya Roy. (2022) Model Identification Via Total Frobenius Norm of Multivariate Spectra. Journal of the Royal Statistical Society Series B: Statistical Methodology 84:2, pages 473-495.
Crossref
Daniel Cirkovic & Thomas J. Fisher. (2021) On testing for the equality of autocovariance in time series. Environmetrics 32:7.
Crossref
Daniel Peña & Ruey S. Tsay. 2021. Statistical Learning for Big Dependent Data. Statistical Learning for Big Dependent Data 211 290 .
Daniel Peña & Ruey S. Tsay. 2021. Statistical Learning for Big Dependent Data. Statistical Learning for Big Dependent Data 37 110 .
Steven D. Silver & Marko Raseta. (2019) An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data. Empirical Economics 60:2, pages 683-699.
Crossref
M. Vasanthi & K. Seetharaman. (2021) A hybrid method for biometric authentication-oriented face detection using autoregressive model with Bayes Backpropagation Neural Network. Soft Computing 25:2, pages 1659-1680.
Crossref
Fumiya Akashi, Masanobu Taniguchi, Anna Clara Monti & Tomoyuki AmanoFumiya Akashi, Masanobu Taniguchi, Anna Clara Monti & Tomoyuki Amano. 2021. Diagnostic Methods in Time Series. Diagnostic Methods in Time Series 9 24 .
Nelson Omar Muriel Torrero. (2020) Testing financial time series for autocorrelation: Robust Tests. CIENCIA ergo sum 27:3, pages e96.
Crossref
Vinícius T. Scher, Francisco Cribari‐Neto, Guilherme Pumi & Fábio M. Bayer. (2019) Goodness‐of‐fit tests for β ARMA hydrological time series modeling . Environmetrics 31:3.
Crossref
Andrés M. Alonso & Daniel Peña. (2018) Clustering time series by linear dependency. Statistics and Computing 29:4, pages 655-676.
Crossref
Stephen Thiele. (2019) Detecting underestimates of risk in VaR models. Journal of Banking & Finance 101, pages 12-20.
Crossref
Santiago Velilla & Huong Nguyen Thu. (2018) A goodness-of-fit test for VARMA( p, q ) models. Journal of Statistical Planning and Inference 197, pages 126-140.
Crossref
Ruey S. Tay & Rong Chen. 2018. Nonlinear Time Series Analysis. Nonlinear Time Series Analysis 1 40 .
Fumiya Akashi, Hiroaki Odashima, Masanobu Taniguchi & Anna Clara Monti. (2017) A New Look at Portmanteau Tests. Sankhya A 80:1, pages 121-137.
Crossref
Carolina García‐Martos, Julio Rodríguez & María Jesús Sánchez. 2017. Advances in Electric Power and Energy Systems. Advances in Electric Power and Energy Systems 153 214 .
Huong Nguyen Thu. 2017. Advances in Time Series Analysis and Forecasting. Advances in Time Series Analysis and Forecasting 147 158 .
Esam Mahdi. (2016) Portmanteau test statistics for seasonal serial correlation in time series models. SpringerPlus 5:1.
Crossref
Piotr Kokoszka, Matthew Reimherr & Nikolas Wölfing. (2016) A randomness test for functional panels. Journal of Multivariate Analysis 151, pages 37-53.
Crossref
Tae Yoon Kim & Jeongcheol Ha. (2016) Remarks on correlated error tests. Journal of the Korean Data and Information Science Society 27:2, pages 559-564.
Crossref
Ke Zhu. (2016) Bootstrapping the Portmanteau Tests in Weak Auto-Regressive Moving Average Models. Journal of the Royal Statistical Society Series B: Statistical Methodology 78:2, pages 463-485.
Crossref
M. T. Tai, Y. X. Yang & S. Q. Ling. 2016. Advances in Time Series Methods and Applications. Advances in Time Series Methods and Applications 115 130 .
Heni Boubaker. (2014) Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application. Computational Economics 46:4, pages 551-574.
Crossref
K. Seetharaman. (2015) Image retrieval based on micro-level spatial structure features and content analysis using Full Range Gaussian Markov Random Field model. Engineering Applications of Artificial Intelligence 40, pages 103-116.
Crossref
Colin M. Gallagher & Thomas J. Fisher. (2015) ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT. Journal of Time Series Analysis 36:1, pages 67-83.
Crossref
Štefan Lyócsa. (2014) Growth-returns nexus: Evidence from three Central and Eastern European countries. Economic Modelling 42, pages 343-355.
Crossref
S. Zheng, D. Jiang, Z. Bai & X. He. (2014) Inference on multiple correlation coefficients with moderately high dimensional data. Biometrika 101:3, pages 748-754.
Crossref
Yunwei Cui, Thomas J. Fisher & Rongning Wu. (2014) Diagnostic tests for non-causal time series with infinite variance. Journal of Statistical Planning and Inference 147, pages 117-131.
Crossref
Štefan Lyócsa & Eduard Baumöhl. (2014) Stability of the “returns–growth” relationship in G7: The dynamic conditional lagged correlation approach. Borsa Istanbul Review 14:1, pages 48-56.
Crossref
Tucker McElroy & Brian Monsell. (2014) The multiple testing problem for Box-Pierce statistics. Electronic Journal of Statistics 8:1.
Crossref
Sohail Chand & Shahid Kamal. (2014) Mixed Portmanteau Test for Diagnostic Checking of Time Series Models. Journal of Applied Mathematics 2014, pages 1-8.
Crossref
Lajos Horváth, Marie Hušková & Gregory Rice. (2013) Test of independence for functional data. Journal of Multivariate Analysis 117, pages 100-119.
Crossref
Carolina García‐Martos & Antonio J. Conejo. 2000. Wiley Encyclopedia of Electrical and Electronics Engineering. Wiley Encyclopedia of Electrical and Electronics Engineering 1 23 .
Georg M. Goerg. (2012) Testing for white noise against locally stationary alternatives. Statistical Analysis and Data Mining 5:6, pages 478-492.
Crossref
Chafik Bouhaddioui & Kilani Ghoudi. (2012) Empirical processes for infinite variance autoregressive models. Journal of Multivariate Analysis 107, pages 319-335.
Crossref
Esam Mahdi & A. Ian McLeod. (2011) Improved multivariate portmanteau test. Journal of Time Series Analysis 33:2, pages 211-222.
Crossref
Holger Dette, Tatjana Kinsvater & Mathias Vetter. (2011) Testing non-parametric hypotheses for stationary processes by estimating minimal distances. Journal of Time Series Analysis 32:5, pages 447-461.
Crossref
Pierre Duchesne & Pierre Lafaye De Micheaux. (2010) Computing the distribution of quadratic forms: Further comparisons between the Liu–Tang–Zhang approximation and exact methods. Computational Statistics & Data Analysis 54:4, pages 858-862.
Crossref
Fukang Zhu & Dehui Wang. (2010) Diagnostic checking integer-valued ARCH models using conditional residual autocorrelations. Computational Statistics & Data Analysis 54:2, pages 496-508.
Crossref
K. Seetharaman. (2009) Texture analysis based on a family of stochastic models. Texture analysis based on a family of stochastic models.
Naoya Katayama. (2009) On multiple portmanteau tests*. Journal of Time Series Analysis 30:5, pages 487-504.
Crossref
Ignacio Arbués. (2009) Departure from normality of increasing-dimension martingales. Journal of Multivariate Analysis 100:6, pages 1304-1315.
Crossref
Tucker McElroy & Scott Holan. (2009) Spectral domain diagnostics for testing model proximity and disparity in time series data. Statistical Methodology 6:1, pages 1-20.
Crossref
Jan G. De Gooijer. (2007) Partial sums of lagged cross-products of AR residuals and a test for white noise. TEST 17:3, pages 567-584.
Crossref
George E. P. Box, Gwilym M. Jenkins & Gregory C. Reinsel. 2008. Time Series Analysis. Time Series Analysis 685 699 .
J.‐W. Lin & A. I. McLeod. (2008) Portmanteau tests for ARMA models with infinite variance. Journal of Time Series Analysis 29:3, pages 600-617.
Crossref
Daniel Peña & Pedro Galeano. 2008. Advances in Mathematical and Statistical Modeling. Advances in Mathematical and Statistical Modeling 267 278 .
. (2007) A Portmanteau Test Based on the Discrete Cosine Transform. Korean Journal of Applied Statistics 20:2, pages 323-332.
Crossref
M. Angeles Carnero, Daniel Peña & Esther Ruiz. (2006) Effects of outliers on the identification and estimation of GARCH models. Journal of Time Series Analysis 28:4, pages 471-497.
Crossref
Jen-Wen Lin & A.Ian McLeod. (2006) Improved Peňa–Rodriguez portmanteau test. Computational Statistics & Data Analysis 51:3, pages 1731-1738.
Crossref
Daniel Peña & Julio Rodríguez. (2006) The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series. Journal of Statistical Planning and Inference 136:8, pages 2706-2718.
Crossref
Andrés M. Alonso & Elizabeth A. Maharaj. (2006) Comparison of time series using subsampling. Computational Statistics & Data Analysis 50:10, pages 2589-2599.
Crossref
Daniel Peña & Julio Rodriguez. (2005) Detecting nonlinearity in time series by model selection criteria. International Journal of Forecasting 21:4, pages 731-748.
Crossref
Sung-Im Lee. (2005) Model Checking for Time-Series Count Data. Communications for Statistical Applications and Methods 12:2, pages 359-364.
Crossref
Andy C.C. Kwan, Ah-Boon Sim & Yangru Wu. (2005) A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series. Computational Statistics & Data Analysis 48:2, pages 391-413.
Crossref
Patrick J. Burns. (2003) Robustness of the Ljung-Box Test and its Rank Equivalent. SSRN Electronic Journal.
Crossref
Kilani Ghoudi & Chafik Bouhaddioui. (2011) Empirical Processes for Infinite Variance Autoregressive Models. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.