This article proposes a new diagnostic test for dynamic count models, which is well suited for risk management. Our test proposal is of the Portmanteau-type test for lack of residual autocorrelation. Unlike previous proposals, the resulting test statistic is asymptotically pivotal when...

In this thesis, a new univariate-multivariate portmanteau test is derived. The proposed test statistic can be used for diagnostic checking ARMA, VAR, FGN, GARCH, and TAR time series models as well as for checking randomness of series and goodness-of- fit VAR models with stable Paretian errors....

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...