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MathGroup Archive 2006

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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


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