Separated hypotheses testing for autoregressive models with non-negative residuals

DOI10.1080/00949655.2016.1222613OpenAlexW2509679249MaRDI QIDQ5106811

Abdolreza Sayyareh, Sedigheh Zamani Mehreyan

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1222613

zbMATH Keywords

model selectionAkaike information criterionautoregressive modelmodified maximum likelihoodunit root testVuong's testCox's testtracking interval

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

A distribution-free tracking interval for model selection: application in the strength of brittle materials ⋮ Bootstrap choice of non-nested autoregressive model with non-normal innovations

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Estimating a difference of Kullback-Leibler risks using a normalized difference of AIC
• Empiricial Comparison between Some Model Selection Criteria
• First-order autoregressive gamma sequences and point processes
• On Information and Sufficiency
• Maximum Likelihood Estimation of Misspecified Models
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