Skip Navigation

Biometrika 1986 73(3):725-730; doi:10.1093/biomet/73.3.725
© 1986 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by LJUNG, G. M.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Diagnostic testing of univariate time series models

GRETA M. LJUNG

Department of Mathematics, Massachusetts Institute of Technology Cambridge, Massachusetts, 02139, U.S.A.

The portmanteau statistic for testing the adequacy of an autoregressive-moving average model is based on the first m autocorrelations of the residuals from the fitted model. This paper examines the properties of this test for various choices of m. A modification which allows the use of small values of m is shown to result in a more powerful test. The Lagrange multiplier statistic (Godfrey, 1979) and a test statistic examined by Newbold (1980) are also discussed.

Key Words: Autoregressive-moving average model • Lagrange multiplier test • Portmanteau test • Residual autocorrelation • Time series model checking


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.