A good lag value for the Portmanteau test
- To: mathgroup at smc.vnet.net
- Subject: [mg66446] A good lag value for the Portmanteau test
- From: "john.hawkin at gmail.com" <john.hawkin at gmail.com>
- Date: Sat, 13 May 2006 02:42:33 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
Hello everyone, I was wondering if anyone knows what the criteria is for choosing a good lag value for the Portmanteau test (done on the residuals of a fitted model). The value of h=35 is suggested by Mathematica's documentation for time series of around n=100 or n=150, but for time series of length n=250 or n=1000 should this stay the same, or should it be some percentage of n? Thanks, -John Hawkin