Testing for Serial Correlation Against an ARMA(1, 1,) Process

DOI10.2307/2291751zbMath0895.62089OpenAlexW3123914046MaRDI QIDQ4366031

Donald W. K. Andrews, Werner Ploberger

Publication date: 7 January 1998

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d10/d1077.pdf

zbMATH Keywords

likelihood ratio testtime seriesserial correlationautoregressive moving average modelLagrange multiplier testconsistent testnonstandard testing problemtest of white noiseerrors of regression models

Mathematics Subject Classification ID

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

Related Items (9)

Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness ⋮ On testing for serial correlation of unknown form using wavelet thresholding ⋮ Testing conditional moment restrictions ⋮ Most mean powerful test of a composite null against a composite alternative ⋮ Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process ⋮ On consistent testing for serial correlation in seasonal time series models ⋮ ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES ⋮ A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES ⋮ Market efficiency, asset returns, and the size of the risk premium in global equity markets.

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