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

identifiabilityscore testtransfer functionportmanteau testsautoregressive-moving averagepure significance test

Mathematics Subject Classification ID

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

Cited in

(11)

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

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