The construction of asymptotically distribution free time series model specification tests using as statistics the estimated residual autocorrelations is considered from a general view point. We focus our attention on Box-Pierce type tests based on the sum of squares of a few estimated residual...

We propose an asymptotically distribution-free transform of the sample autocorrelations of residuals in general parametric time series models, possibly non-linear in variables. The residuals autocorrelation function is the basic model checking tool in time series analysis, but it is useless when...

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett’s...

-process of the residuals. This transformation approximates the martingale component of the process so that it converges weakly to the standard Brownian motion under the null hypothesis. One feature of our setup is that we do not require to specify the dynamic structure of the regressors. Due...

We consider a class of time series specification tests based on quadratic forms of weighted sums of residuals autocorrelations. Asymptotically distribution-free tests in the presence of estimated parameters are obtained by suitably transforming the weights, which can be optimally chosen to...

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett's Tp-process...

This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the Bartlett <italic>T</italic>-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed....