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Titre :
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A proposal for a residual autocorrelation test in linear models
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Auteurs :
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A. Monti
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Type de document :
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article/chapitre/communication
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Année de publication :
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1994
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Format :
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776-780
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Langues :
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= Anglais
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Mots-clés :
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autoregressive moving average model
;
goodness-of-fit test
;
portmanteau statistic
;
Serie temporelle
;
Monte Carlo
;
Test
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Résumé :
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This note proposes a test of goodness of fit for time series models based on the sum of the squared residual partial autocorrelations. The test statistic is asymptotically chi(2). Its small-sample performance is studied through a Monte Carlo experiment. It appears sensitive to erroneous specifications especially when the fitted model understates the order of the moving average component.
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Source :
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Biometrika - 0006-3444, vol. 81, n° 4
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