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st: White noise tests

From   "Rune Logstein" <>
To   <>, "Rune Logstein" <>
Subject   st: White noise tests
Date   Wed, 15 Jun 2005 10:10:43 +0200

I have a problem. This is about how to understand the differences
between the white noise tests Bartlett's periodogram based white noise
test and portmanteau white noise test.

I have time series data with approximately 32500 observations. (The time
series is really a panel data but for simplicity I treat the data as
ordinary time series). The time series are daily observations

After I have regressed the dependent variable on a lot of endogenous
variables and specified an ARMA(4.1) structure for the residuals I test
for white noise of the residuals with the tests mentioned above.

Bartlett's test says that the residuals are white noise (0.4 / 0.99) But
the Portmanteu say that the residuals are not white noise (57.9 /

Wich test result should I belive in?
Why the contradictory result? Does the negative conclusion from the
portmanteu test stem from the big sample size?

Best regards
Rune Logstein

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