The equivalence of two tests of time series model adequacy

DOI10.1093/biomet/67.2.463zbMath0455.62069OpenAlexW2007260641MaRDI QIDQ3903915

Paul Newbold

Publication date: 1980

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/67.2.463

zbMATH Keywords

Lagrange multiplier testresidual autocorrelationautoregressive-moving average modeltime series model checking

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Testing causality using efficiently parametrized vector ARMA models ⋮ Model-structure selection by cross-validation ⋮ LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE ⋮ RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS ⋮ ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS ⋮ Checks of model adequacy for univariate time series models and their application to econometric relationships ⋮ On diagnostic checking of the autoregressive conditional intensity model ⋮ The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors ⋮ Comparison of two modified portmanteau tests for model adequacy ⋮ Fully Bayesian analysis of ARMA time series models ⋮ Data-driven portmanteau tests for time series

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