An improved portmanteau test for autocorrelated errors in interrupted time-series regression models

A new portmanteau test for autocorrelation among the errors of interrupted time-series regression models is proposed. Simulation results demonstrate that the inferential properties of the proposed Q(H-m) test statistic are considerably more satisfactory than those of the well known Ljung-Box test and moderately better than those of the Box-Pierce test. These conclusions generally hold for a wide variety of autoregressive (AR), moving averages (MA), and ARMA error processes that are associated with time-series regression models of the form described in Huitema and McKean (2000a, 2000b).