Box-Pierce test

From Wikipedia, the free encyclopedia

In econometrics the Box-Pierce test is a portmanteau test for autocorrelated errors. The Box-Pierce statistic is computed as the weighted sum of squares of a sequence of autocorrelations.[1]

Q = T \sum^s_{k=1} r^2_k.

Another portmanteau test is the Ljung-Box test, which is a preferred version of the Box-Pierce test, because the Box-Pierce statistic have bad performance in small samples and the Ljung-Box statistic is better for all sample sizes including small ones.

[edit] References

  1. ^ Box, G. E. P. and Pierce, D. A., "Distribution of the Autocorrelations in Autoregressive Moving Average Time Series Models", Journal of American Statistical Association, 65 (1970): 1509-1526.