Distribution of residual autocorrelations in multivariate ARMA time series models

The large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model is derived. This result is somewhat less complicated for the vector autoregressive model. A new multivariate portmanteau test for checking the adequacy of fitted vector ARMA models is developed. A simulation study shows that a simple modification of the portmanteau test improves its accuracy in small samples.link_to_subscribed_fulltex