articleTop 1% cited

On a measure of lack of fit in time series models

Biometrika · 1978 · Vol. 65(2) · pp. 297–303

Greta M. Ljung✉(University of Denver)George E. P. Box(University of Wisconsin–Madison)

Abstract

The overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered. It is shown that a substantially improved approximation results from a simple modification of this test. Some consideration is given to the power of such tests and their robustness when the innovations are nonnormal. Similar modifications in the overall tests used for transfer function-noise models are proposed

Monetary Policy and Economic ImpactMathematicsAutoregressive modelRobustness (evolution)Series (stratigraphy)Measure (data warehouse)EconometricsApplied mathematicsStatisticsPower functionTime series

Citations

5,897

FWCI

35.48

field-weighted impact

References

Percentile

100%

vs. same field & year

Citations per year

Cited by

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return