About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models

DOI10.1081/STA-120028379zbMath1066.62086MaRDI QIDQ3155265

Bernardo M. Lagos

Publication date: 14 January 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

time seriesARMA modelspower functionschi-square distributions

Mathematics Subject Classification ID

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

Cites Work

• Bartlett-type modification for Rao's efficient score statistic
• Third-order asymptotic properties of a class of test statistics under a local alternative
• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• Comparison of LR, score, and Wald tests in a non-iid setting
• Asymptotic theory of statistical inference for time series
• Comparison of Bartlett-type adjustments for the efficient score statistic
• The local power of the efficient scores test statistic
• The likelihood ratio criterion for a composite hypothesis under a local alternative
• Exact Geometry of Autoregressive Models
• Improvement of the Likelihood Ratio Test Statistic in ARMA Models
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