Diagnostic checking ARMA time series models using squared-residual autocorrelations

A. I. MCLEOD, Wai Keung LI

Research output: Contribution to journalArticlespeer-review

601 Citations (Scopus)

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. Copyright © 1983 Wiley Blackwell. All rights reserved.
Original languageEnglish
Pages (from-to)269-273
JournalJournal of Time Series Analysis
Volume4
Issue number4
DOIs
Publication statusPublished - Jul 1983

Citation

McLeod, A. I., & Li, W. K. (1983). Diagnostic checking ARMA time series models using squared-residual autocorrelations. Journal of Time Series Analysis, 4(4), 269-273. doi: 10.1111/j.1467-9892.1983.tb00373.x

Keywords

  • ARMA time series
  • Diagnostic checking
  • Nonlinear time series
  • Portmanteau test
  • Testing for statistical independence

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