Testing for Serial Correlation: Generalized Andrews–Ploberger Tests

DOI10.1198/jbes.2009.08115zbMath1198.62105OpenAlexW1996741125MaRDI QIDQ3160945

N. E. Savin, John C. Nankervis

Publication date: 11 October 2010

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.08115

zbMATH Keywords

Lagrange multiplier testautoregressive moving average modelsnonstandard testinguncorrelatednessstatistically dependent time series

Mathematics Subject Classification ID

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

Related Items (3)

An automatic portmanteau test for serial correlation ⋮ Papers with John ⋮ A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES

Uses Software

• RANLUX

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