Checks of model adequacy for univariate time series models and their application to econometric relationships

DOI10.1080/07474938808800138zbMath0718.62201OpenAlexW2031239288MaRDI QIDQ5750232

A. R. Tremayne, Leslie G. Godfrey

Publication date: 1988

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938808800138

zbMATH Keywords

time seriesautocorrelationmisspecification testsLagrange multiplier testsportmanteau testsnonnested hypotheses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (9)

Testing for ar(1) against ima(1,1) disturbances in the linear regression model ⋮ An improved selection test between autoregressive and moving average disturbances in regression models ⋮ Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models ⋮ On improving the robustness and reliability of Rao's score test ⋮ Nonnested testing for autocorrelation in the linear regression model ⋮ COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY ⋮ Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models ⋮ Robust density power divergence based tests in multivariate analysis: a comparative overview of different approaches ⋮ Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter

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