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

DOI10.2307/2297487zbMATH Open0627.62075OpenAlexW1990837693MaRDI QIDQ3763433FDOQ3763433

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

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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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• The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence
• Hypothesis testing in the presence of nuisance parameters
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• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• Testing AR(1) against MA(1) disturbances in an error component model
• A nonnested approach to testing continuous time models against discrete alternatives
• The significance of testing empirical non-nested models
• An improved selection test between autoregressive and moving average disturbances in regression models
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• The information matrix test in the linear regression with ARMA errors

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