Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model

DOI10.2307/2297487MaRDI QIDQ3763433zbMATH OpenOpenAlexFDO

Authors Maxwell L. King, Michael McAleer

Publication date 1987

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2297487

zbMATH Keywords

Cox testMonte Carlo experimentcritical valuesLagrange multiplier testMA(1) disturbancessmall-sample propertiesapproximate point optimal testasymptotic non- nested testslinearized Cox teststesting for AR(1) disturbances

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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• A nonnested approach to testing continuous time models against discrete alternatives
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