Testing Residuals for

White Noise in Time Series

The Portmanteau Tests

Deborah Diamante
Fall 2004
 “On a Measure of Lack of Fit in Time Series
Models”; GM Ljung & GEP Box; Biometrika 1970

 “Distribution of Residual Autocorrelations in

ARIMA Time Series Models”; GEP Box & DA
Pierce; JAMA 1978
Overview

 Example
 Introduction to ARIMA in time series
 Distribution of B-P Test Statistic
 A better Test Statistic
 Return to Example
What is the question?

 Does the model we fit to our data yield

uncorrelated errors (residuals)?

 Hypotheses:
H 0 : 1   2  ...   m  0
H1 : at least one non  zero
Example: Dow Jones Utilities Index
(Aug. 28 – Dec. 18, 1972)
S e r ie s

124.

122.

120.

118.

116.

114.

112.

110.

108.

0 10 20 30 40 50 60 70

 What ARIMA model yields uncorrelated

errors?
Introduction to ARIMA
Models in Time Series
 Usual definition, denoted ARIMA(p,d,q)

 ( B)(1  B) d xt   ( B) zt zt ~ WN (0,  2 )

 Where B is the “backshift” operator defined as

B( zt )  zt 1
B l ( zt )  zt l
 And

 ( B )  1  1 B  ...   p B p
 ( B )  1  1 B  ...   q B q
 To simplify, call Yt the differenced time series so that
yt  (1  B ) d xt

 The Yt can be written as a linear function of previous observations,

previous white noise and current white noise:

yt  i 1i yt i   j 1 j zt  j  zt
p q

 In practice we must choose an appropriate model (p,d, and q) and

estimate the model parameters. After fitting a model to some
sample series, we wish to consider the stochastic properties of the
residuals
Zˆ  ( zˆ1 , zˆ2 ,..., zˆn )'
 The ACF (Autocorrelation function) at lag k

k 
 zz
t t k
~ MVN
z 2
t
Anderson (1942)

The autocorrelations are uncorrelated with variances

nk 1
Var (  k )  
n(n  2) n

So that the statistics

n(n  2)k 1 (n  k ) 1  k2 ~  2 (m)

m

nk 1  k2 ~  2 (m)
m

What if we replace the ACF with the sample ACF?

Distribution of B-P Test Statistic
BP  nk 1 ̂ k2
m

 For the AR(p) process

 ( B ) yt  z t
 Can be rewritten as an MA(infinity) process
yt   1 ( B) zt   ( B) zt   j 0 j zt  j


 ˆ 1 ( B) zt  ˆ ( B) zt   j 0ˆ j zˆt  j


 Along with orthogonality constraints we have

0  t  p 1 zˆt yt  j
n
1 j  p

 t  p 1 k 0 zˆtˆ k zˆt  k  j
n 

 k 0ˆ k ˆ k  j


 k 0 k ˆ k  j with O p (1 / n)
m
 Using the first order Taylor expansion about ˆ   it can be shown
that for k = 1 … m
ˆ k   k   j 1 ( j  ˆj ) k  j
p

 In matrix notation this is

ˆ    X (  ˆ) where
 1 0 ... 0 
 1 . . 
 1 
X   2 1 . 0 
 
 ... . . 1 
 m 1  m  2 ...  m  p 
  mx p

 Thus, for Q=X(X’X)-1X’ we have

ˆ  ( I  Q) 
 ~ N m (0, (1 / n) I m )
ˆ ~ N m (0, (1 / n)[ I  Q])
 It follows that the test statistic has Chi-squared distribution

BP  nk 1 ˆ k2  nˆ ' ˆ ~  2 ( r )

m

where r  r[ I  Q] m  p
iff [ I  Q] is idempotent

Show [ I  Q]  [ I  Q][ I  Q]

[ I  Q][ I  Q]
 I  Q  Q  QQ
 I  2Q  X ( X ' X ) 1 X ' X ( X ' X ) 1 X '
 I  2Q  X ( X ' X ) 1 X '
 I  2Q  Q
 I Q
 Therefore, if we have Yt AR(p) then
BP  nk 1 ˆ k2 ~  2 (m  p )
m

 Similarly Box and Pierce show that if

we have any ARIMA(p,d,q) then
BP  nk 1 ˆ k2 ~  2 (m  p  q )
m

 Requires n large relative to m

A Better Test Statistic

 Ljung and Box make simple

modification yielding substantially
improved approximation!

LB  n(n  2)k 1 (n  k ) 1 ˆ k2 ~  2 (m  p  q)
m
Return to Example
n = 78, choose m = 24, alpha = 0.05

proc
 Fitarima data=dowj;
an ARIMA(1,1,0)
identify var=DOWJ nlag=24;
LB = 38.88, p = 0.0205
identify var=DOWJ(1) nlag=24;
Reject the null hypothesis
/* Syntax to fit AR(1) model to (1-B)DOWJ using ML*/
estimate
 Fit anp=1
ARIMA(0,1,1)
method=ml;
run; LB = 40.22, p = 0.0145
Reject the null hypothesis
/* Syntax to fit MA(1) model to (1-B)DOWJ using ML*/
estimate q=1 method=ml;
 Fit an ARIMA(1,1,1)
run;
LB = 33.50, p = 0.0551
/* Syntax Do notARMA(1,1)
to fit reject the model
null hypothesis
to (1-B)DOWJ using ML*/
estimate p=1 q=1 method=ml;
run;
Other Tests Exist

 McLeod-Li portmanteau test (1983)

 Turning Point Test

 Difference-Sign Test
Thank You!

 Dr. Ravishanker
 Dr. Dey

Questions?