A test of fit in time series models
Anders Milhøj · Biometrika · 1981
A goodness-of-fit test statistic for time series models is presented, and its asymptotic distribution, even when parameters are estimated, is derived. The statistic is a frequency domain analogue of the Box-Pierce portmanteau statistic. The asymptotic power of the test is found and compared to the empirical power of the portmanteau test. The small sample properties are investigated by Monte-Carlo methods.