Mixed Portmanteau Tests for Time‐Series Models

Heung Wong and Shiqing Ling ()

Journal of Time Series Analysis, 2005, vol. 26, issue 4, 569-579

Abstract: Abstract. This paper obtains the joint limiting distribution of residuals and squared residuals of a general time‐series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time‐series models. In some cases, it is shown that this statistic can be simply approximated by the sum of well‐known portmanteau statistics. The finite‐sample performance of the new test is compared with those of well‐known tests through simulations.

Date: 2005
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https://doi.org/10.1111/j.1467-9892.2005.00420.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:4:p:569-579

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