Higher order generalisation of first order autoregressive tests

DOI10.1080/03610928508829085MaRDI QIDQ3725397zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• A new test for fourth-order autoregressive disturbances
• A point optimal test for autoregressive disturbances
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Robust tests for spherical symmetry and their application to least squares regression
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• TESTING FOR MOVING AVERAGE REGRESSION DISTURBANCES
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
• The Durbin-Watson Test for Serial Correlation: Bounds for Regressions with Trend and/or Seasonal Dummy Variables
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• The power of the Durbin-Watson test for regressions without an intercept
• “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
• scientific article; zbMATH DE number 5354451 (Why is no real title available?)
• Testing the autoregressive process of a cross-country demand system against a higher-order alternative
• scientific article; zbMATH DE number 883616 (Why is no real title available?)
• Time series analysis via rank order theory: Signed-rank tests for ARMA models

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