Biometrika · 1979 · 173 citations · 5 references
ComputingMathematicsEconometricsForecastingTime Series AnalysisTime Series EconometricsTime Series ForecastingTime Series ModelingAutoregressive ModelsAutoregressive Moving Average ModelsAutoregressive Time Series ModelsFinite Sample EstimationLjung-box TestMonte Carlo EstimationSample Size CalculationTest Statistics
The problem of testing the adequacy of an autoregressive-moving average time series model is considered. A new approach is proposed, and some Monte Carlo results on the finite sample size and power of the test procedures of this paper are reported. The test statistics discussed by Box & Pierce (1970) and Ljung & Box (1978) are also examined.
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On a measure of lack of fit in time series models
Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 6K citations
The Lagrangian Multiplier Test
S. D. Silvey · The Annals of Mathematical Statistics · 1959 · 443 citations · Full text