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

DOI10.1081/STA-120006073MaRDI QIDQ4449067zbMATH OpenFDO

Authors C. R. Mckenzie, Michael McAleer

Publication date 4 February 2004

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

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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• 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
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• 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

Cites work

• scientific article; zbMATH DE number 3949563 (Why is no real title available?)
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• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series
• A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
• A comparison of nonnested tests for misspecified models using the method of approximate slopes
• A unified approach to estimation and orthogonality tests in linear single-equation econometric models
• Assessing the relative efficiency of Hausman's test under Bahadur efficiency considerations
• Asymptotic power comparisons of tests of separate parametric families by Bahadur's approach
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• 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
• Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors
• Nonnested testing for autocorrelation in the linear regression model
• On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
• Rates of Convergence of Estimates and Test Statistics
• Recursive estimation of linear systems
• Seasonal Adjustment and Relations Between Variables
• Some Tests of Dynamic Specification for a Single Equation
• Some consequences of superimposed error in time series analysis
• Some tests of separate families of hypotheses in time series analysis
• Stochastic Comparison of Tests
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• The Approximate Slopes of Econometric Tests
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey

Cited in

(3)

• 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
• Assessing the relative efficiency of Hausman's test under Bahadur efficiency considerations

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Uses Software

• Microfit

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