Checks of model adequacy for univariate time series models and their application to econometric relationships (Q5750232): Difference between revisions

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scientific article; zbMATH DE number 4184817

Language	Label	Description	Also known as
English	Checks of model adequacy for univariate time series models and their application to econometric relationships	scientific article; zbMATH DE number 4184817

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instance of

scholarly article

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title

Checks of model adequacy for univariate time series models and their application to econometric relationships (English)

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1988

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zbMATH Keywords

portmanteau tests

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Lagrange multiplier tests

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nonnested hypotheses

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autocorrelation

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misspecification tests

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time series

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07474938808800138

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cites work

Q3896388

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Autoregressive and window estimates of the inverse correlation function

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Q4137964

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

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Inverse Autocorrelations

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Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes

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The Inverse Autocorrelations of a Time Series and Their Applications

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Q5600597

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Q4101268

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Power of the Noncentral F-Test: Effect of Additional Variates on Hotelling's T 2 -Test

0 references

Significance levels of the Box-Pierce portmanteau statistic in finite samples

0 references

Q5663203

0 references

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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Testing For Unit Roots: 1

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Testing for Unit Roots: 2

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Q4124141

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Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

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Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables

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A Note on the Use of Durbin's h Tests when the Equation is Estimated by Instrumental Variables

0 references

Testing the adequacy of a time series model

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On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis

0 references

Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence

0 references

Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure

0 references

The estimation of the order of an ARMA process

0 references

On the formulation of empirical models in dynamic econometrics

0 references

The Econometric Analysis of Economic Time Series

0 references

The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

0 references

Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model

0 references

Diagnostic testing of univariate time series models

0 references

On a measure of lack of fit in time series models

0 references

Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors

0 references

The equivalence of two tests of time series model adequacy

0 references

Q3272825

0 references

Least squares estimation in the regression model with autoregressive-moving average errors

0 references

Least squares estimation in dynamic-disturbance time series models

0 references

Residual Correlations and Diagnostic Checking in Dynamic-Disturbance Time Series Models

0 references

Testing the specification of a fitted autoregressive-moving average model

0 references

An approach to testing linear time series models

0 references

Diagnostic tests for multiple time series models

0 references

Q5791397

0 references

The Lagrangian Multiplier Test

0 references

Modeling Multiple Times Series with Applications

0 references

Retail inventory investment behaviour

0 references

“Generalization of the durbin-watson statistic for higher order autoregressive processes

0 references

Some tests of separate families of hypotheses in time series analysis

0 references

Testing for Fourth Order Autocorrelation in Quarterly Regression Equations

0 references

Bayesian Econometrics

0 references

Identifiers

zbMATH Open document ID

0718.62201

0 references

DOI

10.1080/07474938808800138

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5750232

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+Leslie G. Godfrey
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/07474938808800138
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+W2031239288
@@ Property / OpenAlex ID: W2031239288 / rank @@
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@@ Property / cites work @@
+Q3896388
@@ Property / cites work: Q3896388 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive and window estimates of the inverse correlation function
+Normal rank
@@ Property / cites work @@
+Q4137964
@@ Property / cites work: Q4137964 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
+Normal rank
@@ Property / cites work @@
+The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
+Normal rank
@@ Property / cites work @@
+Inverse Autocorrelations
@@ Property / cites work: Inverse Autocorrelations / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
+Normal rank
@@ Property / cites work @@
+The Inverse Autocorrelations of a Time Series and Their Applications
+Normal rank
@@ Property / cites work @@
+Q5600597
@@ Property / cites work: Q5600597 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4101268
@@ Property / cites work: Q4101268 / rank @@
+Normal rank
@@ Property / cites work @@
+Power of the Noncentral F-Test: Effect of Additional Variates on Hotelling's T 2 -Test
+Normal rank
@@ Property / cites work @@
+Significance levels of the Box-Pierce portmanteau statistic in finite samples
+Normal rank
@@ Property / cites work @@
+Q5663203
@@ Property / cites work: Q5663203 / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
+Normal rank
@@ Property / cites work @@
+TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
+Normal rank
@@ Property / cites work @@
+Testing For Unit Roots: 1
@@ Property / cites work: Testing For Unit Roots: 1 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for Unit Roots: 2
@@ Property / cites work: Testing for Unit Roots: 2 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4124141
@@ Property / cites work: Q4124141 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
+Normal rank
@@ Property / cites work @@
+Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
+Normal rank
@@ Property / cites work @@
+A Note on the Use of Durbin's h Tests when the Equation is Estimated by Instrumental Variables
+Normal rank
@@ Property / cites work @@
+Testing the adequacy of a time series model
@@ Property / cites work: Testing the adequacy of a time series model / rank @@
+Normal rank
@@ Property / cites work @@
+On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
+Normal rank
@@ Property / cites work @@
+Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
+Normal rank
@@ Property / cites work @@
+Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
+Normal rank
@@ Property / cites work @@
+The estimation of the order of an ARMA process
@@ Property / cites work: The estimation of the order of an ARMA process / rank @@
+Normal rank
@@ Property / cites work @@
+On the formulation of empirical models in dynamic econometrics
+Normal rank
@@ Property / cites work @@
+The Econometric Analysis of Economic Time Series
@@ Property / cites work: The Econometric Analysis of Economic Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems
+Normal rank
@@ Property / cites work @@
+Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
+Normal rank
@@ Property / cites work @@
+Diagnostic testing of univariate time series models
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
+Normal rank
@@ Property / cites work @@
+The equivalence of two tests of time series model adequacy
+Normal rank
@@ Property / cites work @@
+Q3272825
@@ Property / cites work: Q3272825 / rank @@
+Normal rank
@@ Property / cites work @@
+Least squares estimation in the regression model with autoregressive-moving average errors
+Normal rank
@@ Property / cites work @@
+Least squares estimation in dynamic-disturbance time series models
+Normal rank
@@ Property / cites work @@
+Residual Correlations and Diagnostic Checking in Dynamic-Disturbance Time Series Models
+Normal rank
@@ Property / cites work @@
+Testing the specification of a fitted autoregressive-moving average model
+Normal rank
@@ Property / cites work @@
+An approach to testing linear time series models
@@ Property / cites work: An approach to testing linear time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Diagnostic tests for multiple time series models
@@ Property / cites work: Diagnostic tests for multiple time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Q5791397
@@ Property / cites work: Q5791397 / rank @@
+Normal rank
@@ Property / cites work @@
+The Lagrangian Multiplier Test
@@ Property / cites work: The Lagrangian Multiplier Test / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling Multiple Times Series with Applications
@@ Property / cites work: Modeling Multiple Times Series with Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Retail inventory investment behaviour
@@ Property / cites work: Retail inventory investment behaviour / rank @@
+Normal rank
@@ Property / cites work @@
+“Generalization of the durbin-watson statistic for higher order autoregressive processes
+Normal rank
@@ Property / cites work @@
+Some tests of separate families of hypotheses in time series analysis
+Normal rank
@@ Property / cites work @@
+Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
+Normal rank
@@ Property / cites work @@
+Bayesian Econometrics
@@ Property / cites work: Bayesian Econometrics / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5750232