© 1978 by Biometrika Trust
On a measure of lack of fit in time series models
College of Business Administration, University of Denver Colorado
Department of Statistics, University of Wisconsin Madison
The overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered. It is shown that a substantially improved approximation results from a simple modification of this test. Some consideration is given to the power of such tests and their robustness when the innovations are nonnormal. Similar modifications in the overall tests used for transfer function-noise models are proposed
Key Words: Autoregressive–moving average model • Residual autocorrelation • Test for lack of fit • Transfer function-noise model
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