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Biometrika 1980 67(2):463-465; doi:10.1093/biomet/67.2.463
© 1980 by Biometrika Trust
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MISCELLANEA

The equivalence of two tests of time series model adequacy

PAUL NEWBOLD

Department of Economics, University of Illinois Urbana

It is shown that two tests for the adequacy of a fitted ARMA (p, q,) model, based respectively on comparison through the Lagrange multiplier test with an ARMA (p + k, q) model and on analysis of the first k residual autocorrelations from the estimated model, are equivalent.

Key Words: Autoregressive-moving average model • Residual autocorrelation • Time series model checking.


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