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It is often the case when assessing the goodness of fit for an ARMA time series model that a portmanteau test of the residuals is conducted to assess residual serial correlation of the fitted ARMA model. Of the many portmanteau tests available for this purpose, one of the most famous and widely used is a variant of the original Box-Pierce test, the LjungBox test. Despite the popularity of this test, however, there are several other more modern portmanteau tests available to assess residual serial autocorrelation of the fitted ARMA model. These include two portmanteau tests proposed by Monti and Peña and Rodríguez. This paper focuses on the results of a power analysis comparing these three different portmanteau tests against different fits of ARMA derived time series, as well as the behavior of the three different teststatistics examined when applied to a real-world data set. We confirm that for situations in which the moving average component of a fitted ARMA model is underestimated or when the sample size is small, the portmanteau test proposed by Monti is a viable alternative to the Ljung-Box test. We show new evidence that the Peña and Rodríguez test may also be a viable option for testing for residual autocorrelation in cases where the sample size is small.

A Monte Carlo Simulation Study on the Power of Autocorrelation Tests for ARMA Models