{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T00:01:59Z","timestamp":1772755319333,"version":"3.50.1"},"reference-count":17,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2004,2,10]],"date-time":"2004-02-10T00:00:00Z","timestamp":1076371200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2004,4]]},"abstract":"<jats:p>We present a goodness-of-fit test for time series models based on the \ndiscrete spectral average estimator. Unlike current tests of goodness \nof fit, the asymptotic distribution of our test statistic allows the \nnull hypothesis to be either a short- or long-range dependence model. \nOur test is in the frequency domain, is easy to compute, and does not \nrequire the calculation of residuals from the fitted model. This is \nespecially advantageous when the fitted model is not a finite-order \nautoregressive model. The test statistic is a frequency domain analogue \nof the test by Hong (1996, \n<jats:italic>Econometrica<\/jats:italic> 64, 837\u2013864), which is a generalization of \nthe Box and Pierce (1970, <jats:italic>Journal of the \nAmerican Statistical Association<\/jats:italic> 65, 1509\u20131526) test \nstatistic. A simulation study shows that our test has power comparable \nto that of Hong's test and superior to that of another frequency \ndomain test by Milhoj (1981, \n<jats:italic>Biometrika<\/jats:italic> 68, 177\u2013187).<\/jats:p>","DOI":"10.1017\/s0266466604202067","type":"journal-article","created":{"date-parts":[[2004,2,18]],"date-time":"2004-02-18T19:25:16Z","timestamp":1077132316000},"page":"382-416","source":"Crossref","is-referenced-by-count":30,"title":["A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES \nMODELS"],"prefix":"10.1017","volume":"20","author":[{"given":"Willa W.","family":"Chen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Rohit S.","family":"Deo","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2004,2,10]]},"reference":[{"key":"S0266466604202067_ref001","doi-asserted-by":"crossref","unstructured":"Beran, J. (1992)A goodness-of-fit test for time series with long range dependence.Journal of the Royal Statistical Society, Series B 54,749\u2013760.","DOI":"10.1111\/j.2517-6161.1992.tb01448.x"},{"key":"S0266466604202067_ref009","doi-asserted-by":"crossref","unstructured":"Grenander, U. & M. Rosenblatt (1957)Statistical Analysis of Stationary Time Series.Wiley.","DOI":"10.1063\/1.3060405"},{"key":"S0266466604202067_ref006","doi-asserted-by":"crossref","unstructured":"Davies, R.B. & D.S. Harte (1987)Tests for Hurst effect.Biometrika 74,95\u2013102.","DOI":"10.2307\/2336024"},{"key":"S0266466604202067_ref008","doi-asserted-by":"crossref","unstructured":"Granger, C.W.J. & R. Joyeux (1980)An introduction to long memory time series models and fractionaldifferencing.Journal of Time Series Analysis 1,15\u201329.","DOI":"10.1111\/j.1467-9892.1980.tb00297.x"},{"key":"S0266466604202067_ref013","doi-asserted-by":"crossref","unstructured":"Mandelbrot, B.B. & J.W. 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Brodsky (1998)The mean squared error of Geweke and Porter-Hudak's estimatorof the memory parameter of a long-memory time series.Journal of Time Series Analysis 19,19\u201346.","DOI":"10.1111\/1467-9892.00075"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466604202067","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,21]],"date-time":"2025-06-21T06:27:03Z","timestamp":1750487223000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466604202067\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,2,10]]},"references-count":17,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2004,12]]}},"alternative-id":["S0266466604202067"],"URL":"https:\/\/doi.org\/10.1017\/s0266466604202067","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2004,2,10]]}}}