Testing for autoregressive disturbances in a time series regression with missing observations

DOI10.1016/0304-4076(93)90066-EzbMath0775.62243MaRDI QIDQ1801419

Thomas S. Shively

Publication date: 18 July 1993

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

Mathematics Subject Classification ID

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

Related Items

Locally optimal one-sided tests for multiparameter hypotheses

Uses Software

• IMSL Numerical Libraries
• AS 155

Cites Work

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• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Testing for Autocorrelation with Missing Observations
• Locally optimal one-sided tests for multiparameter hypotheses
• Numerical inversion of a characteristic function
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Note on the inversion theorem