An omnibus test for the time series model AR(1).

DOI10.1016/S0304-4076(03)00137-4MaRDI QIDQ1421315zbMATH OpenOpenAlexFDO

Authors T. W. Anderson, Richard A. Lockhart, Michael A. Stephens

Publication date 26 January 2004

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

Full work available at URL https://doi.org/10.1016/s0304-4076(03)00137-4

zbMATH Keywords

Cramér--von Mises testGoodness-of-fitSpectral distributiontables

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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• Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
• Gaussian limit fields for the integrated periodogram
• Goodness of fit tests for spectral distributions
• Goodness-of-fit tests for autoregressive processes
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• On Spectral Analysis of Stationary Time Series
• ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S U_p-STATISTIC
• Sign invariance in goodness-of-fit test for time series
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Tests of fit for the logistic distribution based on the empirical distribution function

Cited in

(5)

• The continuous and discrete Brownian bridges: Representations and applications
• A characterization of the innovations of first order autoregressive models
• Estimation and hypothesis testing for collections of autoregressive time series
• Large-sample tests of homogeneity for time series models
• An Omnibus Test for Time Series ModelI(d)

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