Mixed Portmanteau Tests for Time-Series Models

This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply approximated by the sum of well-known portmanteau statistics. The finite-sample performance of the new test is compared with those of well-known tests through simulations. Copyright 2005 Blackwell Publishing Ltd.