Checks of model adequacy for univariate time series models and their application to econometric relationships

DOI10.1080/07474938808800138zbMATH Open0718.62201OpenAlexW2031239288MaRDI QIDQ5750232FDOQ5750232

Authors: A. R. Tremayne, L. G. Godfrey 

Publication date: 1988

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938808800138

Recommendations

• Diagnostic testing of univariate time series models
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zbMATH Keywords

time seriesautocorrelationmisspecification testsLagrange multiplier testsportmanteau testsnonnested hypotheses

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited In (12)

• Testing for ar(1) against ima(1,1) disturbances in the linear regression model
• Nonnested testing for autocorrelation in the linear regression model
• COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
• Model checks of higher order time series
• A statistic to check model adequacy in time series
• On improving the robustness and reliability of Rao's score test
• Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
• Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models
• Robust density power divergence based tests in multivariate analysis: a comparative overview of different approaches
• An improved selection test between autoregressive and moving average disturbances in regression models
• Testing model adequacy for some Markov regression models for time series
• Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

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