A test of fit in time series models
- 1 April 1981
- journal article
- research article
- Published by Oxford University Press (OUP) in Biometrika
- Vol. 68 (1) , 177-187
- https://doi.org/10.1093/biomet/68.1.177
Abstract
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.Keywords
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