Testing for autoregressive against moving average errors in the linear regression model

DOI10.1016/0304-4076(83)90118-5zbMath0501.62061OpenAlexW1989798412WikidataQ127255069 ScholiaQ127255069MaRDI QIDQ1172359

Maxwell L. King

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90118-5

zbMATH Keywords

tablesnew approachtesting for autoregressive against moving average errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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Uses Software

• AS 155
• AS 153

Cites Work

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• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• The Estimated Power of Several Tests for Autocorrelation with Non-First- Order Alternatives
• Error Mis-Specification and Spurious Regressions
• MOVING‐AVERAGE TRANSFORMATIONS IN CLASSICAL LINEAR MODELS
• Some tests of separate families of hypotheses in time series analysis
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II