Testing for residual correlation of any order in the autoregressive process

DOI10.1080/03610926.2017.1310240zbMath1462.62546arXiv1312.2240OpenAlexW2963451403MaRDI QIDQ4638732

Frédéric Proïa

Publication date: 27 April 2018

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

Full work available at URL: https://arxiv.org/abs/1312.2240

zbMATH Keywords

least-squares estimationresidual autocorrelationasymptotic properties of estimatorsDurbin-Watson statisticstable autoregressive processstatistical test for residual correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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