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Mixed Portmanteau Tests for Time‐Series Models

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  • Heung Wong
  • Shiqing Ling

Abstract

. This paper obtains the joint limiting distribution of residuals and squared residuals of a general time‐series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time‐series models. In some cases, it is shown that this statistic can be simply approximated by the sum of well‐known portmanteau statistics. The finite‐sample performance of the new test is compared with those of well‐known tests through simulations.

Suggested Citation

  • Heung Wong & Shiqing Ling, 2005. "Mixed Portmanteau Tests for Time‐Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 569-579, July.
    • Handle: RePEc:bla:jtsera:v:26:y:2005:i:4:p:569-579
    DOI: 10.1111/j.1467-9892.2005.00420.x
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    References listed on IDEAS

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    1. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 45-59, March.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Shiqing Ling & W. K. Li, 1997. "Diagnostic checking of nonlinear multivariate time series with multivariate arch errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(5), pages 447-464, September.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    5. A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
    6. Bera, Anil K & Higgins, Matthew L, 1993. "ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-366, December.
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    Cited by:

    1. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
    2. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
    3. Carlos Velasco & Xuexin Wang, 2015. "A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 39-60, January.
    4. Kwan, Wilson & Li, Wai Keung & Li, Guodong, 2012. "On the estimation and diagnostic checking of the ARFIMA–HYGARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3632-3644.
    5. Dalla, Violetta & Giraitis, Liudas & Phillips, Peter C. B., 2022. "Robust Tests For White Noise And Cross-Correlation," Econometric Theory, Cambridge University Press, vol. 38(5), pages 913-941, October.
    6. Zhu, Ke, 2012. "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper 40382, University Library of Munich, Germany.
    7. De Gooijer, Jan G., 2023. "On portmanteau-type tests for nonlinear multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    8. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
    9. Yi-Ting Chen & Zhongjun Qu, 2015. "M Tests with a New Normalization Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 617-652, May.
    10. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
    11. Kilani Ghoudi & Bruno Rémillard, 2018. "Serial independence tests for innovations of conditional mean and variance models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 3-26, March.
    12. Yaxing Yang & Shiqing Ling, 2017. "Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 318-333, April.

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