Add to ORKGThis paper is concerned with the problem of testing the hypothesis that the disturbances of a regression model are generated by a first-order autoregressive process against the alternative assumption that they follow a first-order moving average scheme. The test proposed has the advantages of requiring only ordinary least squares estimation and of being simple to implement. Some Monte Carlo results on the finite sample behavior of the test are provided. Copyright 1990 by The Review of Economic Studies Limited.
Robust analogues of the Wald and the Rao score statistics are presented for testing composite hypoth...
In this paper we consider general first order autoregression, including the stationary, the explosiv...
One puzzling behavior of asset returns for various frequencies is the of ten observed positive autoc...
This paper considers testing for MA(1) against AR(1) disturbances in the linear regression model. Te...
In linear time-series regression analysis, there is typically uncertainty about which variables to i...
Serious alternatives to the AR(1) disturbance model in econometric applications of linear regression...
This paper considers the problem of testing the null hypothesis of firstorder autoregressive disturb...
How to deal with nuisance parameters is an important problem in econometrics because of the non-expe...
Inference on the autocorrelation coefficient p of a linear regression model with first-order autoreg...
It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier t...
When a nuisance parameter is unidentified under the null hypothesis, standard testing procedures can...
The purpose of this paper is to use Bahadur’s asymptotic relative efficiency measure to compare the ...
The efficiency of estimation procedures and the validity of testing procedures in simple and multipl...
We know very little about the performance of point optimal (PO) and approximate point optimal (APO) ...
Abstract: This paper deals with the hypothesis testing for the mean of the stationary vector autoreg...
Robust analogues of the Wald and the Rao score statistics are presented for testing composite hypoth...
In this paper we consider general first order autoregression, including the stationary, the explosiv...
One puzzling behavior of asset returns for various frequencies is the of ten observed positive autoc...
This paper considers testing for MA(1) against AR(1) disturbances in the linear regression model. Te...
In linear time-series regression analysis, there is typically uncertainty about which variables to i...
Serious alternatives to the AR(1) disturbance model in econometric applications of linear regression...
This paper considers the problem of testing the null hypothesis of firstorder autoregressive disturb...
How to deal with nuisance parameters is an important problem in econometrics because of the non-expe...
Inference on the autocorrelation coefficient p of a linear regression model with first-order autoreg...
It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier t...
When a nuisance parameter is unidentified under the null hypothesis, standard testing procedures can...
The purpose of this paper is to use Bahadur’s asymptotic relative efficiency measure to compare the ...
The efficiency of estimation procedures and the validity of testing procedures in simple and multipl...
We know very little about the performance of point optimal (PO) and approximate point optimal (APO) ...
Abstract: This paper deals with the hypothesis testing for the mean of the stationary vector autoreg...
Robust analogues of the Wald and the Rao score statistics are presented for testing composite hypoth...
In this paper we consider general first order autoregression, including the stationary, the explosiv...
One puzzling behavior of asset returns for various frequencies is the of ten observed positive autoc...