An approach to testing linear time series models

DOI10.1214/AOS/1176345577MaRDI QIDQ1162092zbMATH OpenOpenAlexFDO

Authors D. S. Poskitt, A. R. Tremayne

Publication date 1981

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345577

zbMATH Keywords

autoregressive-moving averageidentifiabilityportmanteau testspure significance testscore testtransfer function

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(11)

• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• A new test for ARMA models with errors following a general white noise process
• Residual autocorrelation testing for vector error correction models
• ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
• TRANSFER FUNCTION MODEL ORDER AND PARAMETER ESTIMATION
• A FREQUENCY DOMAIN APPROACH TO LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING AVERAGE MODELS
• A simple method for the estimation of rational distributed lag models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Econometric tests of rationality and market efficiency
• Extimation and structure determination of multivariate input systems

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