This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett Tp-process with estimated parameters, which converges in distribution to the standard Brownian motion under the null hypothesis. We discuss tests of different natures such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice.
"Distribution free goodness-of-fit tests for linear processes." Ann. Statist. 33 (6) 2568 - 2609, December 2005. https://doi.org/10.1214/009053605000000606