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

DOI10.2307/2297547zbMath0694.62041OpenAlexW2086353583MaRDI QIDQ3470025

Simon P. Burke, A. R. Tremayne, Leslie G. Godfrey

Publication date: 1990

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297547

zbMATH Keywords

ordinary least squares estimationfinite sample behaviourfirst-order autoregressive processdisturbances of a regression modelfirst-order moving average scheme

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (9)

Testing AR(1) against MA(1) disturbances in an error component model ⋮ Testing for ar(1) against ima(1,1) disturbances in the linear regression model ⋮ An improved selection test between autoregressive and moving average disturbances in regression models ⋮ Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models ⋮ Most mean powerful test of a composite null against a composite alternative ⋮ The Variance Profile ⋮ Checks of model adequacy for univariate time series models and their application to econometric relationships ⋮ Nonnested testing for autocorrelation in the linear regression model ⋮ COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY

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