Monti, Anna Clara A proposal for a residual autocorrelation test in linear models. (English) Zbl 0810.62082 Biometrika 81, No. 4, 776-780 (1994). Summary: 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. Cited in 2 ReviewsCited in 29 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62E20 Asymptotic distribution theory in statistics Keywords:autoregressive-moving average model; portemanteau statistic; asymptotic chi-square; test of goodness of fit; time series models; sum of the squared residual partial autocorrelations PDFBibTeX XMLCite \textit{A. C. Monti}, Biometrika 81, No. 4, 776--780 (1994; Zbl 0810.62082) Full Text: DOI