## 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
Full Text: