Generalized portmanteau statistics and tests of randomness

References

• Aiyar , R.J. 1981 . Asymptotic efficiency of rank tests of randomness against autocorrelation . Ann. Inst. Statist. Math , 33 : 255 – 262 .
   Web of Science ®Google Scholar
• Anderson , T.W. 1971 . The Statistical Analysis of Time Series , New York : Wiley .
   Google Scholar
• Ansley , C.F. and Newbold , P. 1979 . On the finite sample distribuiton of residual autocorrelations in autoregressive moving average models . Biometrika , 66 : 547 – 553 .
   Web of Science ®Google Scholar
• Bartels , R. 1982 . The rank version of von Neumann's ration test for randomness . J. Amer. Statist. Assoc , 77 : 40 – 46 .
   Web of Science ®Google Scholar
• Bhattacharyya , G.K. 1984 . “ Tests of randomness against trend or serial correlations ” . In Handbook of Statistics, Nonparametric Methods , Edited by: Krishnaiah , P.R. and Sen , P.K. Vol. 4 , 89 – 111 . North–Holland : Amsterdam .
   Google Scholar
• Box , G.E.P. and Jenkins , G.M. 1976 . Times Series Analysis Forecasting and Control , San Francisco : Holden–Day .
   Google Scholar
• Box , G.E.P. and Pierce , D.A. 1970 . Distributiono of residuals autocorrelations in autogregressive–integrated moving average time series models . J.Amer.Statist.Assoc , 65 : 1509 – 1526 .
   Google Scholar
• Clarke , B.R. and Godolphin , E.J. 1982 . Comparative power studies for goodness of fit test of time series models . J. Time Series Analysis , 3 : 141 – 151 .
   Google Scholar
• Davies , N. and Newbold , P. 1979 . Some power studies of a portmanteau test of time series model specification . Biometrika , 66 : 153 – 155 .
   Web of Science ®Google Scholar
• Davies , N. , Triggs , C.M. and Newbold , P. 1977 . Significance levels of the Box–Pierce portmanteau statistic in finite samples . Biometrika , 64 : 517 – 522 .
   Web of Science ®Google Scholar
• Dufour , J.M. 1981 . Rank tests for serieal dependence . J. Time Series Analysis , 2 : 117 – 128 .
   Google Scholar
• Dufour , J.M. , Lepage , Y. and Zeidan , H. 1982 . Nonparametric testing for time series: a bibliography . Canadian J. Statist , 10 : 1 – 38 .
   Google Scholar
• Dufour , J.M. and Roy , R. 1985 . Some robust exact results on sample autocorrelations and tests of randomness . J. Econometrics , 29 : 257 – 273 .
   Web of Science ®Google Scholar
• Fama , E.F. 1970 . Efficient capital markets: a review of theory and empirical work . J. Finance , 25 : 383 – 417 .
   Web of Science ®Google Scholar
• Govindarajulu , Z. 1983 . “ Rank tests for randomness against autocorrelated alternatives ” . In Time series analysis: Theory and Practice , Edited by: Anderson , O.D. Vol. 4 , 65 – 73 . North–Holland : Amsterdam .
   Google Scholar
• Gupta , G.D. and Govindarajulu , Z. 1980 . Nonparametric tests of randomness against autocorrelated normal alternatives . Biometrika , 67 : 375 – 379 .
   Web of Science ®Google Scholar
• Jájek , J. and Sid´k , Z. 1967 . Theory of Rank Tests , New York : Academic Press .
   Google Scholar
• Hall , R.E. 1978 . Stochastic implications of the life cycle permanent incom hypothesis: theory and evidence . J. Political Economy , 86 : 971 – 987 .
   Web of Science ®Google Scholar
• Hallin , M. , Ingenbleek , J.F. and Puri , M.L. 1985a . Linear serial rank tests for independence against ARMA alternatives . Ann. Statist , 13 : 1156 – 1181 .
   Web of Science ®Google Scholar
• Hallin M. Ingenbleek J.F. Puri M.L. Linear and quadratic serial rank test for randomness against serial dependence Université Libre de Bruxelles and Indiana Universit 1985b
   Google Scholar
• IMSL IMSL Inc Houston 1984 Reference manual Edition 9.
   Google Scholar
• Kantor , B. 1979 . Rational xpectations and economic thought . J. Economic Literature , 17 : 1422 – 1441 .
   Web of Science ®Google Scholar
• Knoke , J.D. 1977 . Testing for randomness against autocorrelation: alternative tests . Biometrika , 64 : 523 – 529 .
   Web of Science ®Google Scholar
• Li , W.K. and Mclaod , A.I. 1981 . Distribution of the residual autocorellation in multivariate ARMA time series models . J. Royal Statist. Soc. B , 43 : 231 – 239 .
   Google Scholar
• Ljung , G.M. 1982 . Testing the adequacy of a fitted autoregressive – moving avgerage model . 1982 Proc. Bus. Econ. Statist. Sect. Amer. Statist. Assoc , 43 : 200 – 203 .
   Google Scholar
• Ljung , G.M. and Box , G.E.P. 1978 . On a measures of lack of fit in time series models . Biometrika , 65 : 297 – 303 .
   Web of Science ®Google Scholar
• MACSYMA Laboratory for computer Science, Massachusetts Institute of Technology 1983 Reference manyal, version 10, The Mathlab Groyp
   Google Scholar
• Mcleod , A.I. 1978 . On the distribution and applications of residual autocorrelations in Box–Jenkins models . J. Royal Statist. Soc. B , 43 : 231 – 239 .
   Google Scholar
• Moran , P.A.P. 1948 . Some theorems on time series. II. The significance of the serial correlation coefficient . Biometrika , 35 : 255 – 260 .
   Web of Science ®Google Scholar
• Newbold P. Model checking in time series analysis Proceedings of the conference on Applied Time Series Analysis of Economic Data Zellner A. Bureau of the Census Arlington, Va October 13-15 1983 133 149
   Google Scholar
• Stuart , A. 1956 . The efficiencies of tests of randomness against normal regression . J. Amer. Statist. Assoc , 51 : 285 – 287 .
   Web of Science ®Google Scholar
• Wald , A. and Wolfowitz , J. 1943 . An exact test for randomness in the nonparametric case based on serial correlation . Ann, Math. Statist , 14 : 378 – 388 .
   Google Scholar