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Diagnostic Testing of Univariate Time Series Models

Greta M. Ljung
Biometrika
Vol. 73, No. 3 (Dec., 1986), pp. 725-730
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2336539
Stable URL: http://www.jstor.org/stable/2336539
Page Count: 6
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Diagnostic Testing of Univariate Time Series Models
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Abstract

The portmanteau statistic for testing the adequacy of an autoregressive-moving average model is based on the first m autocorrelations of the residuals from the fitted model. This paper examines the properties of this test for various choices of m. A modification which allows the use of small values of m is shown to result in a more powerful test. The Lagrange multiplier statistic (Godfrey, 1979) and a test statistic examined by Newbold (1980) are also discussed.

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