×

A proposal for a residual autocorrelation test in linear models. (English) Zbl 0810.62082

Summary: This note proposes a test of goodness of fit for time series models based on the sum of the squared residual partial autocorrelations. The test statistic is asymptotically \(\chi^ 2\). Its small-sample performance is studied through a Monte Carlo experiment. It appears sensitive to erroneous specifications especially when the fitted model understates the order of the moving average component.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
PDF BibTeX XML Cite
Full Text: DOI