An improved selection test between autoregressive and moving average disturbances in regression models

DOI10.1515/jtse-2014-0036zbMath1499.62227OpenAlexW2330380694MaRDI QIDQ1695671

Pierre Nguimkeu

Publication date: 7 February 2018

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

Full work available at URL: https://doi.org/10.1515/jtse-2014-0036

zbMATH Keywords

\(p\)-valueautoregressive errorslikelihood analysismoving average errors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Cites Work

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• Modified signed log likelihood ratio
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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