About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models
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Publication:3155265
DOI10.1081/STA-120028379zbMATH Open1066.62086MaRDI QIDQ3155265FDOQ3155265
Authors: Bernardo M. Lagos 
Publication date: 14 January 2005
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Recommendations
- Higher order asymptotics for the likelihood ratio, Rao's and Wald's tests
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- Comparison of tests in the multiparameter case. I. Second-order power
- scientific article; zbMATH DE number 4126531
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Asymptotic theory of statistical inference for time series
- Title not available (Why is that?)
- Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
- Comparison of LR, score, and Wald tests in a non-iid setting
- The local power of the efficient scores test statistic
- The likelihood ratio criterion for a composite hypothesis under a local alternative
- Bartlett-type modification for Rao's efficient score statistic
- Third-order asymptotic properties of a class of test statistics under a local alternative
- Exact Geometry of Autoregressive Models
- Improvement of the Likelihood Ratio Test Statistic in ARMA Models
- Comparison of Bartlett-type adjustments for the efficient score statistic
Cited In (2)
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