Nonnested testing for autocorrelation in the linear regression model

DOI10.1016/0304-4076(93)90047-9MaRDI QIDQ1260674zbMATH OpenOpenAlexFDO

Authors Param Silvapulle, Maxwell L. King

Publication date 25 August 1993

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(93)90047-9

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Cites work

• scientific article; zbMATH DE number 3878183 (Why is no real title available?)
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• Some tests of separate families of hypotheses in time series analysis
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
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• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• Useful invariance results for generalized regression models

Cited in

(6)

• COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
• Most mean powerful invariant test for testing two-dimensional parameter spaces
• Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models
• Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables
• Robustness of the arch tests in the presence of serial correlation
• A joint test for serial correlation and heteroscedasticity

Describes a project that uses

Uses Software

• AS 153
• AS 155

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