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Biometrika 1979 66(3):547-553; doi:10.1093/biomet/66.3.547
© 1979 by Biometrika Trust
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On the finite sample distribution of residual autocorrelations in autoregressive-moving average models

CRAIG F. ANSLEY and PAUL NEWBOLD

Graduate School of Business, University of Chicago Illinois

We examine by simulation the finite sample properties of tests of model adequacy based on individual residual autocorrelations, and of portmanteau statistics based on several residual autocorrelations, for autoregressive-moving average models. Both nonseasonal and seasonal models are considered.

Key Words: Autocorrelation • Autoregressive-moving average model • Time series model checking


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