Improvement of the Likelihood Ratio Test Statistic in ARMA Models

DOI10.1111/J.1467-9892.2004.00338.XMaRDI QIDQ4828171zbMATH OpenOpenAlexFDO

Authors Bernardo M. Lagos, Pedro A. Morettin

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.00338.x

zbMATH Keywords

ARMA modelsBartlett correctionlikelihood ratio test statistic

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Some corrections of the score test statistic for Gaussian ARMA models
• BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
• Miscellanea. Bartlett correction of the unit root test in autoregressive models
• Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods
• scientific article; zbMATH DE number 1356595

Cites work

• Exact Geometry of Autoregressive Models
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• The bootstrap and Edgeworth expansion

Cited in

(14)

• Improved likelihood inference in generalized linear models
• Gradient statistic: higher-order asymptotics and Bartlett-type correction
• Improved likelihood-based inference in Birnbaum-Saunders nonlinear regression models
• Improved inference in dispersion models
• Expansions for the distribution of asymptotically chi-square statistics
• About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models
• BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• Some corrections of the score test statistic for Gaussian ARMA models
• Bartlett corrections in Birnbaum–Saunders nonlinear regression models
• Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods
• Bartlett correction in the stable second-order autoregressive model with intercept and trend
• Small sample adjustment for hypotheses testing on cointegrating vectors
• Improved likelihood-based inference for the \(MA(1)\) model

Describes a project that uses

Uses Software

• R
• REDUCE
• Ox

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