Higher order generalisation of first order autoregressive tests

DOI10.1080/03610928508829085zbMATH Open0594.62101OpenAlexW1965687571MaRDI QIDQ3725397FDOQ3725397

Authors: Merran A. Evans, Maxwell L. King 

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1080/03610928508829085

Recommendations

• A new test for fourth-order autoregressive disturbances
• A point optimal test for autoregressive disturbances
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• Hausman tests for autocorrelation in the presence of lagged dependent variables. Some further results
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure

zbMATH Keywords

hypothesis testingautocorrelationordinary least squaresComparisons of powerhigher order generalisations of first order autoregressive tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• Robust tests for spherical symmetry and their application to least squares regression
• A point optimal test for autoregressive disturbances
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• TESTING FOR MOVING AVERAGE REGRESSION DISTURBANCES
• The power of the Durbin-Watson test for regressions without an intercept
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• The Durbin-Watson Test for Serial Correlation: Bounds for Regressions with Trend and/or Seasonal Dummy Variables
• A new test for fourth-order autoregressive disturbances
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
• “Generalization of the durbin-watson statistic for higher order autoregressive processes

Cited In (6)

• On the Bickel-Rosenblatt test for first-order autoregressive models
• A new test for fourth-order autoregressive disturbances
• Title not available (Why is that?)
• Testing the autoregressive process of a cross-country demand system against a higher-order alternative
• Title not available (Why is that?)
• Time series analysis via rank order theory: Signed-rank tests for ARMA models

This page was built for publication: Higher order generalisation of first order autoregressive tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3725397)