A proposal for a residual autocorrelation test in linear models

Abstract

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 X 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.