Higher order generalisation of first order autoregressive tests

DOI10.1080/03610928508829085zbMath0594.62101OpenAlexW1965687571MaRDI QIDQ3725397

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 testingordinary least squaresautocorrelationComparisons of powerhigher order generalisations of first order autoregressive tests

Mathematics Subject Classification ID

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

Related Items (1)

Time series analysis via rank order theory: Signed-rank tests for ARMA models

Cites Work

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

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