García Hiernaux, Alfredo2023-06-202023-06-202009-02Bauer, D. (2005). Asymptotic properties of subspace estimators. Automatica, 41:359-376. Box, G. E. P. and Pierce, D. A. (1970). Distribution of residuals autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65(332):1509-1526. Casals, J., Sotoca, S., and Jerez, M. (1999). A fast and stable method to compute the likelihood of time invariant state space models. Economics Letters, 65(3):329-337. Duchesne, P. and Roy, R. (2004). On consistent testing for serial correlation of unknown form in vector time series models. Journal of Multivariate Analysis, 89:148-180. Escanciano, J. C. and Lobato, I. (2009). An automatic portmanteau test for serial correlation. Journal of Econometrics, forthcoming. Francq, C., Roy, R., and Zakoïan, J.-M. (2005). Diagnostic checking in ARMA models with uncorrelated errors. Journal of the American Statistical Association, 100(13):532-544. Grubb, H. (1992). A multivariate time series analysis of some our price data. Applied Statistics, 41:95-107. Horowitz, J. L., Lobato, I., Nankervis, J. C., and Savin, N. (2006). Bootstrapping the box-pierce q test: A robust test of uncorrelatedness. Journal of Econometrics, 33(2):841-862. Hosking, J. R. M. (1980). The multivariate pormanteau statistic. Journal of the American Statistical Association, 75(371):602-608. Jung, R. C. and Tremayne, A. R. (2003). Testing for serial dependence in time series models of counts. Journal of Time Series Analysis, 24(1):65-84. Katayama, T. (2005). Subspace Methods for System Identification. Springer Verlag, London. Ljung, G. M. and Box, G. E. P. (1978). On a measure of lack of fit in time series models. Biometrika, 65:297-303. Lobato, I. (2001). Testing that a dependent process is uncorrelated. Journal of the American Statistical Association, 96:1066-1076. Lütkepohl, H. and Poskitt, D. S. (1996). Specification of echelon form VARMA models. Journal of Business and Economic Statistics, 14(1):69-79. Peña, D., Tiao, G. C., and Tsay, R. C. (2001). A Course in Time Series Analyses. Wiley Inter-science. Tiao, G. C. and Tsay, R. S. (1989). Model specification in multivariate time series. Journal of the Royal Statistical Society, B Series, 51(2):157-213. White, H. (2001). Asymptotic Theory for Econometricians. Academic Press.https://hdl.handle.net/20.500.14352/49249The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the multivariate case. The performance of the proposals is illustrated via Monte Carlo simulations and an example with real data.spatechnical reporthttps://www.ucm.es/icaeopen accessDiagnostic checkingPortmanteau testsSubspace methods.Finanzas