Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p, q) model

Abstract

This note investigates the finite-sample performance of Monti's test, paying special attention to its estimated sizes and empirical powers. Our simulation results indicate that (i) the test size can be affected by the choice of the number of residual partial autocorrelations, m , and (ii) the empirical powers of the Monti and the Ljung-Box tests are similar in the cases of both seasonal and nonseasonal data if m is properly chosen.