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Biometrika 1981 68(1):177-187; doi:10.1093/biomet/68.1.177
© 1981 by Biometrika Trust
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A test of fit in time series models

ANDERS MILHØJ

Institute of Statistics, University of Copenhagen

A goodness-of-fit test statistic for time series models is presented, and its asymptotic distribution, even when parameters are estimated, is derived. The statistic is a frequency domain analogue of the Box-Pierce portmanteau statistic. The asymptotic power of the test is found and compared to the empirical power of the portmanteau test. The small sample properties are investigated by Monte-Carlo methods.

Key Words: Frequency domain • Goodness-of-fit • PowerTime series


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