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Diagnostic Testing of Univariate Time Series Models
Greta M. Ljung
Vol. 73, No. 3 (Dec., 1986), pp. 725-730
Stable URL: http://www.jstor.org/stable/2336539
Page Count: 6
You can always find the topics here!Topics: Autoregressive moving average, Time series models, Statistical models, Significance level, Autocorrelation, Lagrange multipliers, Statistics, Eigenvalues, Parametric models, Autoregressive models
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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.
Biometrika © 1986 Biometrika Trust