A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations

We propose a simple asymptotically F-distributed portmanteau test for diagnostically checking whether the innovations in a parametric time series model are uncorrelated while allowing them to exhibit higher-order dependence of unknown forms. A transform of sample residual autocovariances removing th...

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Bibliographic Details

Published in:	Journal of business & economic statistics Vol. 40; no. 2; pp. 505 - 521
Main Authors:	Wang, Xuexin, Sun, Yixiao
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis 03.04.2022 Taylor & Francis Ltd
Subjects:	F-distribution Fixed-smoothing asymptotics Model diagnostics Orthonormal series variance estimator Parameter estimation uncertainty Uncorrelated innovations
ISSN:	0735-0015, 1537-2707
Online Access:	Get full text
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