Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA(p, q) model

Biometrika

Volumn 84, Issue 3, 1997, Pages 733-736

  Kwan, Andy C C ^a   Wu, Yangru ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Autoregressive moving average model; Empirical power; Empirical significance level; Residual autocorrelation; Residual partial autocorrelation

Indexed keywords

EID: 0009940641     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/84.3.733     Document Type: Article

References (4)

1. LJUNG, G. M. (1986). Diagnostic testing of univariate time series models. Biometrika 73, 725-30.
2. LJUNG, G. M. & Box, G. E. P. (1978). On a measure of lack of fit in time series models. Biometrika 65, 297-303.
3. MONTI, A. C. (1994). A proposal for a residual autocorrelation test in linear models. Biometrika 81, 776-80.
4. NEWBOLD, P. (1974). The exact likelihood function for a mixed autoregressive-moving average process. Biometrika 61, 423-6.