COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY

DOI10.1081/STA-120006073zbMATH Open1075.62621MaRDI QIDQ4449067FDOQ4449067

Authors: C. R. Mckenzie, Michael McAleer 

Publication date: 4 February 2004

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Recommendations

• ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
• Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations
• Tests of Disorder of Regression: Asymptotic Comparison
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• Assessing the relative efficiency of Hausman's test under Bahadur efficiency considerations

zbMATH Keywords

Lagrange multiplier testBahadur efficiencyMoving average modelAutoregressive modelInappropriate alterativesSeparate (non-nested) tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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• Assessing the relative efficiency of Hausman's test under Bahadur efficiency considerations
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
• Asymptotic power comparisons of tests of separate parametric families by Bahadur's approach
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• A comparison of nonnested tests for misspecified models using the method of approximate slopes

Cited In (2)

• ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
• Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations

Uses Software

• Microfit

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