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 language | English |
|---|---|
| Pages (from-to) | 239-252 |
| Number of pages | 14 |
| Journal | Japanese Economic Review |
| Volume | 50 |
| Issue number | 3 |
| Publication status | Published - 1999 Sep |
| Externally published | Yes |
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ASJC Scopus subject areas
- Economics and Econometrics
Cite this
Simple procedures for testing autoregressive versus moving average errors in regression models. / Mckenzie, Colin R; Mcaleer, Michael; Gill, Len.
In: Japanese Economic Review, Vol. 50, No. 3, 09.1999, p. 239-252.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Simple procedures for testing autoregressive versus moving average errors in regression models
AU - Mckenzie, Colin R
AU - Mcaleer, Michael
AU - Gill, Len
PY - 1999/9
Y1 - 1999/9
N2 - 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.
AB - 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.
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UR - http://www.scopus.com/inward/citedby.url?scp=0032871726&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:0032871726
VL - 50
SP - 239
EP - 252
JO - Japanese Economic Review
JF - Japanese Economic Review
SN - 1352-4739
IS - 3
ER -