A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION

DOI10.1111/j.1467-9892.1995.tb00242.xzbMath0825.62687OpenAlexW1982324857MaRDI QIDQ4855268

John P. Miller, Paul Newbold

Publication date: 13 December 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00242.x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• When are Variance Ratio Tests for Serial Dependence Optimal?
• Testing the adequacy of a time series model
• Model Checking via Parametric Bootstraps in Time Series Analysis
• Are Output Fluctuations Transitory?

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