An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints

The portmanteau test is a widely used diagnostic tool for univariate and multivariate time-series models. Its asymptotic distribution is known for the unconstrained vector autoregressive moving-average (VARMA) case and for VAR models with constraints on the autoregressive coefficients. In this article, we give conditions under which the test can be applied to constrained VARMA models. Unfortunately, it cannot generally be applied to models with constraints that simultaneously affect the ARMA polynomial coefficients and the covariance matrix of the innovations (mixing constraints). This happens in latent-variable models such as dynamic factor models (DFM). In addition, when there are constraints on the covariance matrix it seems convenient to check the goodness of fit using the zero-lag residual covariances. We propose an extended portmanteau test that not only checks the autocorrelations of the residuals but also whether their covariance matrix is consistent with the constraints. We prove that the statistic is asymptotically distributed as a chi-square for ARMA models under the assumption that the innovations have Gaussian-like fourth-order moments. We also show that the test is appropriate for the DFM, Peña-Box model and factor-structural vector autoregression (FSVAR). Copyright 2008 The Author. Journal compilation 2008 Blackwell Publishing Ltd