An approach to testing linear time series models

DOI10.1214/AOS/1176345577zbMath0479.62069OpenAlexW2089635464MaRDI QIDQ1162092

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

transfer functionscore testidentifiabilityportmanteau testsautoregressive-moving averagepure significance test

Mathematics Subject Classification ID

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

Related Items (11)

A FREQUENCY DOMAIN APPROACH TO LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING AVERAGE MODELS ⋮ Residual autocorrelation testing for vector error correction models ⋮ 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 ⋮ Extimation and structure determination of multivariate input systems ⋮ A simple method for the estimation of rational distributed lag models ⋮ ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES ⋮ Checks of model adequacy for univariate time series models and their application to econometric relationships ⋮ Econometric tests of rationality and market efficiency ⋮ Calculation of the Fisher Information Matrix for Periodic ARMA Models ⋮ TRANSFER FUNCTION MODEL ORDER AND PARAMETER ESTIMATION

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