A Generalized Portmanteau Goodness-of-Fit Test for Time Series Models
30 Pages Posted: 31 Oct 2008
Date Written: 2000
We present a goodness of fit test for time series models based on the discrete spectral averageestimator. Unlike current tests of goodness of fit, the asymptotic distribution of our test statisticallows the null hypothesis to be either a short or long range dependence model. Our test isin the frequency domain, is easy to compute and does not require the calculation of residualsfrom the fitted model. This is especially advantageous when the fitted model is not a finiteorder autoregressive model. The test statistic is a frequency domain analogue of the test byHong (1996) which is a generalization of the Box-Pierce (1970) test statistic. A simulation studyshows that our test has power comparable to that of Hong's test and superior to that of anotherfrequency domain test by Milhoj (1981).
Keywords: Portmanteau test, long memory, goodness-of-fit
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