Mixed Portmanteau Test for Diagnostic Checking of Time Series Models

Table 1

Monte Carlo estimates of 𝜌_𝑚.

𝑛	𝑚
	2	3	5	10	15	20	25	30
8	0.799	—	—	—	—	—	—	—
12	0.882	0.872	—	—	—	—	—	—
20	0.932	0.909	0.851	—	—	—	—	—
40	0.962	0.947	0.910	0.829	—	—	—	—
60	0.974	0.968	0.934	0.876	0.828	—	—	—
80	0.982	0.974	0.951	0.898	0.859	0.825	—	—
100	0.986	0.979	0.958	0.923	0.881	0.851	0.826	—
125	0.989	0.983	0.968	0.936	0.902	0.873	0.851	0.829
150	0.990	0.983	0.972	0.941	0.920	0.887	0.875	0.854
200	0.993	0.988	0.979	0.956	0.934	0.915	0.900	0.874