Checks of model adequacy for univariate time series models and their application to econometric relationships
讨论并比较了单变量时间序列模型的充分性检验方法，考察了将这些检验应用于经济计量模型残差的有效性和有用性，并报告了蒙特卡洛模拟证据。
AbstractTests derived from time series analysis play an important role in many empirical studies. These tests are frequently applied to the residuals obtained by fitting an econometric model using some standard estimator. We focus attention here on tests developed for univariate time series models. Various approaches to testing the adequacy of such models are discussed and compared. The validity and sefulness of applying these tests to econometric residuals are then examined and some Monte Carlo evidence is reported.Keywords: Time Series ModelsPortmanteau TestsLagrange Multiplier TestsNonnested HypothesesAutocorrelationMisspecification Tests