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Article: Portmanteau test for conditional heteroscedasticity using ranks of squared residuals

TitlePortmanteau test for conditional heteroscedasticity using ranks of squared residuals
Authors
Wong, HLi, WK
Issue Date1995
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/02664763.asp
Citation
Journal of Applied Statistics, 1995, v. 22 n. 1, p. 121-134 How to Cite?
DOI: http://dx.doi.org/10.1080/757584402
AbstractSquared residual autocorrelations have been found useful in detecting departures from linearity in time series models. This is especially the case with data exhibiting heterogeneity in variances. A rank test is proposed which is much more robust than its parametric counterpart.
Persistent Identifierhttp://hdl.handle.net/10722/82896
ISSN
0266-4763
2023 Impact Factor: 1.2
2023 SCImago Journal Rankings: 0.545
ISI Accession Number ID
WOS:A1995RK13000010

 

DC FieldValueLanguage
dc.contributor.authorWong, Hen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:34:38Z-
dc.date.available2010-09-06T08:34:38Z-
dc.date.issued1995en_HK
dc.identifier.citationJournal of Applied Statistics, 1995, v. 22 n. 1, p. 121-134en_HK
dc.identifier.issn0266-4763en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82896-
dc.description.abstractSquared residual autocorrelations have been found useful in detecting departures from linearity in time series models. This is especially the case with data exhibiting heterogeneity in variances. A rank test is proposed which is much more robust than its parametric counterpart.-
dc.languageengen_HK
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/02664763.aspen_HK
dc.relation.ispartofJournal of Applied Statisticsen_HK
dc.titlePortmanteau test for conditional heteroscedasticity using ranks of squared residualsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0266-4763&volume=22&issue=1&spage=121&epage=134&date=1995&atitle=Portmanteau+test+for+conditional+heteroscedasticity+using+ranks+of+squared+residualsen_HK
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.identifier.doi10.1080/757584402-
dc.identifier.hkuros8672en_HK
dc.identifier.isiWOS:A1995RK13000010-
dc.identifier.issnl0266-4763-

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