This article investigates a portmanteau test statistic for checking model adequacy of smooth transition autoregressive (STAR) models. The asymptotic distribution of residual autocorrelations and the least‐squares estimators are also derived. Hence, the correct asymptotic standard errors for residual autocorrelations are also obtained facilitating model diagnostic checking. Through the graphical display of the simulation results concerning the size and power, for commonly used nominal sizes ( $\le 0.1$), the portmanteau test appears to be more advantageous than the Lagrange multiplier tests in checking serial independence for the errors of STAR models.

中文翻译：

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平滑过渡自回归模型的Portmanteau检验

本文研究了portmanteau检验统计量，以检查平滑过渡自回归（STAR）模型的模型充分性。还推导了残差自相关和最小二乘估计量的渐近分布。因此，还获得了用于残差自相关的正确渐近标准误差，有助于模型诊断检查。通过图形显示有关常用标称尺寸的尺寸和功率仿真结果（$\le 0。\mathrm{1个}$），在检查STAR模型的错误的序列独立性方面，portmanteau检验似乎比Lagrange乘数检验更有优势。