A goodness-of-fit test in robust time series modelling

Abstract

SUMMARY The problem of testing the adequacy of a time series model in the presence of outliers is considered. The classical portmanteau statistic is generalized to an important class of robust estimators. Some Monte Carlo results suggest that the proposed generalization possesses good robustness properties over the classical statistic. A robustified version of a result of Newbold (1980) is also obtained.