Testing normality in autoregressive models

DOI10.1093/BIOMET/72.2.293MaRDI QIDQ3687497zbMATH OpenOpenAlexFDO

Authors Donald A. Pierce

Publication date 1985

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/72.2.293

zbMATH Keywords

autoregressive residualsgoodness-of-fit testlimiting null distributionnumerical resultstest of normality

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(24)

• On the quantile process based on the autoregressive residuals.
• A note on the residual empirical process in autoregressive models
• On the Bickel-Rosenblatt test for first-order autoregressive models
• On residual empirical processes of stochastic regression models with applications to time series
• A new test for normality in linear autoregressive models
• Sequential empirical process in autoregressive models with measurement errors
• Goodness-of-fit test using residuals in infinite-order autoregressive models
• Testing normality: a GMM approach
• Testing for intercept-scale switch in linear autoregression
• Testing Normality for Linear AR(p) Models
• The empirical process of autoregressive residuals
• scientific article; zbMATH DE number 4199387 (Why is no real title available?)
• A simple numerical method of checking normality in statistical models
• Testing normality in econometric models
• Testing for residual correlation of any order in the autoregressive process
• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• On the Pearson's chi-square test for normality of autoregression with outliers
• Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
• A SIMPLE TEST OF NORMALITY FOR TIME SERIES
• Diagnostic test for unstable autoregressive models
• A divergence test for autoregressive time series models
• An empirical likelihood-based Portmanteau test for the autoregressive model regardless of its properties
• Test for normality in the econometric disequilibrium markets model
• Testing linear hypotheses in autoregressions

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