Improvement of the Likelihood Ratio Test Statistic in ARMA Models

DOI10.1111/j.1467-9892.2004.00338.xzbMath1051.62079OpenAlexW3124316206MaRDI QIDQ4828171

Bernardo M. Lagos, Pedro Alberto Morettin

Publication date: 24 November 2004

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00338.x

zbMATH Keywords

likelihood ratio test statisticARMA modelsBartlett correction

Mathematics Subject Classification ID

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

Related Items (10)

About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models ⋮ Expansions for the distribution of asymptotically chi-square statistics ⋮ Improved likelihood inference in generalized linear models ⋮ BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND ⋮ Gradient statistic: higher-order asymptotics and Bartlett-type correction ⋮ Some corrections of the score test statistic for Gaussian ARMA models ⋮ Bartlett corrections in Birnbaum–Saunders nonlinear regression models ⋮ Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods ⋮ Improved likelihood-based inference in Birnbaum-Saunders nonlinear regression models ⋮ Improved inference in dispersion models

Uses Software

• R
• REDUCE
• Ox

Cites Work

• Exact Geometry of Autoregressive Models
• The bootstrap and Edgeworth expansion
• Unnamed Item

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