About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models

DOI10.1081/STA-120028379MaRDI QIDQ3155265zbMATH OpenFDO

Authors Bernardo M. Lagos

Publication date 14 January 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

time seriesARMA modelspower functionschi-square distributions

Mathematics Subject Classification ID

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

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• Higher order asymptotics for the likelihood ratio, Rao's and Wald's tests
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• scientific article; zbMATH DE number 4126531

Cites work

• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• Asymptotic theory of statistical inference for time series
• Bartlett-type modification for Rao's efficient score statistic
• Comparison of Bartlett-type adjustments for the efficient score statistic
• Comparison of LR, score, and Wald tests in a non-iid setting
• Exact Geometry of Autoregressive Models
• Improvement of the Likelihood Ratio Test Statistic in ARMA Models
• The likelihood ratio criterion for a composite hypothesis under a local alternative
• The local power of the efficient scores test statistic
• Third-order asymptotic properties of a class of test statistics under a local alternative

Cited in

(2)

• Inference in second-order identified models
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one

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