Checks of model adequacy for univariate time series models and their application to econometric relationships

Abstract

Tests derived from time series analysis play an important role in many empirical studies. These tests are frequently applied to the residuals obtained by fitting an econometric model using some standard estimator. We focus attention here on tests developed for univariate time series models. Various approaches to testing the adequacy of such models are discussed and compared. The validity and sefulness of applying these tests to econometric residuals are then examined and some Monte Carlo evidence is reported.