DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
- 1 July 1983
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 4 (4) , 269-273
- https://doi.org/10.1111/j.1467-9892.1983.tb00373.x
Abstract
Squared‐residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive‐moving average (ARMA) models (Granger and Andersen, 1978; Miller, 1979). In this note it is shown that the normalized squared‐residual autocorrelations are asymptotically unit multivariate normal. The results of a simulation experiment confirming the small‐sample validity of the proposed tests is reported.Keywords
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