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

DOI10.1080/07474938808800138MaRDI QIDQ5750232zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

autocorrelationLagrange multiplier testsmisspecification testsnonnested hypothesesportmanteau teststime series

Mathematics Subject Classification ID

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

Recommendations

• Diagnostic testing of univariate time series models
• Nonparametric model checks for time series
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Testing model adequacy for some Markov regression models for time series
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS

Cites work

• “Generalization of the durbin-watson statistic for higher order autoregressive processes
• A Note on the Use of Durbin's h Tests when the Equation is Estimated by Instrumental Variables
• An approach to testing linear time series models
• Autoregressive and window estimates of the inverse correlation function
• Bayesian Econometrics
• Diagnostic testing of univariate time series models
• Diagnostic tests for multiple time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• scientific article; zbMATH DE number 3155150 (Why is no real title available?)
• scientific article; zbMATH DE number 3703856 (Why is no real title available?)
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3320085 (Why is no real title available?)
• scientific article; zbMATH DE number 3395168 (Why is no real title available?)
• scientific article; zbMATH DE number 3052144 (Why is no real title available?)
• Inverse Autocorrelations
• Least squares estimation in dynamic-disturbance time series models
• Least squares estimation in the regression model with autoregressive-moving average errors
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Modeling Multiple Times Series with Applications
• On a measure of lack of fit in time series models
• On the formulation of empirical models in dynamic econometrics
• On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
• Power of the Noncentral F-Test: Effect of Additional Variates on Hotelling's T 2 -Test
• Residual Correlations and Diagnostic Checking in Dynamic-Disturbance Time Series Models
• Retail inventory investment behaviour
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• Some tests of separate families of hypotheses in time series analysis
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Testing For Unit Roots: 1
• Testing for Unit Roots: 2
• Testing the adequacy of a time series model
• Testing the specification of a fitted autoregressive-moving average model
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• The Econometric Analysis of Economic Time Series
• The equivalence of two tests of time series model adequacy
• The estimation of the order of an ARMA process
• The Inverse Autocorrelations of a Time Series and Their Applications
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• The Lagrangian Multiplier Test
• The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

Cited in

(12)

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

This page was built for publication: Checks of model adequacy for univariate time series models and their application to econometric relationships

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5750232)