DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
Journal of Time Series AnalysisPublished 1 July 1983
A. Ian McLeod, W. K. Li
Citations1,133
SJR quartileQ1
SJR score0.94
SNIP1.27
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Abstract
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
MathematicsDecision SciencesEconomics, Econometrics and Finance
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