Testing for AR(p) against IMA(1,q) disturbances in the linear regression model

DOI10.1016/0165-1765(92)90001-FMaRDI QIDQ2366937zbMATH OpenOpenAlexFDO

Authors Param Silvapulle

Publication date 7 September 1993

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90001-f

Mathematics Subject Classification ID

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

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• Testing for a unit root in the presence of moving average errors

Cited in

(2)

• The significance of testing empirical non-nested models
• Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach

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