Hypothesis testing based on goodness-of-fit in the moving average time series model

DOI10.1016/0304-4076(79)90006-XzbMath0407.62068MaRDI QIDQ1258155

Charles R. Nelson, Gary S. Shea

Publication date: 1979

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

zbMATH Keywords

Monte Carlo ExperimentsGoodness-Of-FitMoving Average Time Series ModelSmall Sample Properties of T-Tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Cites Work

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• The first-order moving average process. Identification, estimation and prediction
• Time series analysis and simultaneous equation econometric models
• The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models

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