TESTING FOR WHITE NOISE IN TIME SERIES MODELS
Philip Hans Franses, Franses, P. H. · RePEc: Research Papers in Economics · 1990
The new pure significance test for white noise proposed in the present paper is based on the estimated R2 of ah ARMA model fitted to reeiduals. A small empirical size and power investigation is carried out, and the latter seems to indicate that this test meets its purpose more than the portmanteau test.