A PROPOSAL FOR A RESIDUAL AUTOCORRELATION TEST IN LINEAR-MODELS

• 成果类型: Article
• 署名作者: MONTI, AC
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• 发表日期: 1994
• 页码: 776780
• 关键词: time-series models; POWER

摘要

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.