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 language | English |
|---|---|
| Pages (from-to) | 269-273 |
| Journal | Journal of Time Series Analysis |
| Volume | 4 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 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.xKeywords
- ARMA time series
- Diagnostic checking
- Nonlinear time series
- Portmanteau test
- Testing for statistical independence