Ling, Shiqing; Zhu, Ke; Yee, Chong Ching - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 624-639
This paper first derives the limiting distributions of the residual and the squared residual autocorrelation functions of the nonstationary autoregressive moving-average model, respectively. We then use them to construct two portmanteau statistics for testing the adequacy of the fitted model....