COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
DOI10.1081/STA-120006073zbMATH Open1075.62621MaRDI QIDQ4449067FDOQ4449067
Michael McAleer, C. R. Mckenzie
Publication date: 4 February 2004
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Lagrange multiplier testBahadur efficiencyMoving average modelAutoregressive modelInappropriate alterativesSeparate (non-nested) tests
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
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Uses Software
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