DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

A. I. McLeod and W. K. Li

Journal of Time Series Analysis, 1983, vol. 4, issue 4, 269-273

Abstract: Abstract. Squared‐residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive‐moving average (ARMA) models (Granger and Andersen, 1978; Miller, 1979). In this note it is shown that the normalized squared‐residual autocorrelations are asymptotically unit multivariate normal. The results of a simulation experiment confirming the small‐sample validity of the proposed tests is reported.

Date: 1983
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