Simple procedures for testing autoregressive versus moving average errors in regression models

Colin R. Mckenzie, Michael Mcaleer, Len Gill

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

This paper develops several simple separate (or non-nested) procedures for testing autoregressive versus moving average errors in regression models. These asymptotically valid tests are straightforward to calculate: after estimating both models by maximum likelihood methods, the procedure involves testing the significance of variables added to a linearized version of the null model, the added variables being the predictions, or the residuals from the specified alternative model, or the difference of the predictions of the two models. Some small sample evidence on the properties of the tests is presented, as is an empirical application on the Australian unexpected inflation rate series. JEL Classification Numbers: C12, C22, C52, E31.

Original languageEnglish
Pages (from-to)239-252
Number of pages14
JournalJapanese Economic Review
Volume50
Issue number3
DOIs
Publication statusPublished - 1999 Sep
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics

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