Testing for autoregressive against moving average errors in the linear regression model

DOI10.1016/0304-4076(83)90118-5zbMath0501.62061MaRDI QIDQ1172359

Maxwell L. King

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90118-5

zbMATH Keywords

tables; new approach; testing for autoregressive against moving average errors

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

Related Items

Predictive inference for linear and multivariate linear models with ma(1) error processes, Testing for ar(1) against ima(1,1) disturbances in the linear regression model, On Semiparametric EV Models with Serially Correlated Errors in Both Regression Models and Mismeasured Covariates, Parameter estimation in semi-linear models using a maximal invariant likelihood function, Joint one-sided tests of linear regression coefficients, Nonnested testing for autocorrelation in the linear regression model, Comments on testing economic theories and the use of model selection criteria, Testing AR(1) against MA(1) disturbances in an error component model, Infrence for non-negative autoregressive schemes, AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL

Uses Software

• AS 155
• AS 153

Cites Work

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• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• The Estimated Power of Several Tests for Autocorrelation with Non-First- Order Alternatives
• Error Mis-Specification and Spurious Regressions
• MOVING‐AVERAGE TRANSFORMATIONS IN CLASSICAL LINEAR MODELS
• Some tests of separate families of hypotheses in time series analysis
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II