Testing the specification of a fitted autoregressive-moving average model

DOI10.1093/BIOMET/67.2.359MaRDI QIDQ3871770zbMATH OpenOpenAlexFDO

Authors D. S. Poskitt, A. R. Tremayne

Publication date 1980

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/67.2.359

zbMATH Keywords

Fisher information measuresignificance testsingular information matrixtesting specification of fitted autoregressive-moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(9)

• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• Testing causality using efficiently parametrized vector ARMA models
• Time series analysis via rank order theory: Signed-rank tests for ARMA models
• A Lagrange multiplier test for GARCH models
• Model-structure selection by cross-validation
• ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Rao's score, Neyman's C() and Silvey's LM tests: an essay on historical developments and some new results

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