TESTING SEPARATE TIME SERIES MODELS

Michael McAleer, Colin R Mckenzie, A. D. Hall

Research output: Contribution to journalArticle

15 Citations (Scopus)

Abstract

Abstract. We develop simple procedures for testing the adequacy of separate time series models. The test statistics may be calculated using auxiliary regressions that are very similar to those used for calculating Lagrange multiplier test statistics. While the separate tests are designed to yield high power against separate alternatives, they are also powerful as diagnostic checks against a range of inappropriate alternatives. The small‐sample properties of the separate and Lagrange multiplier tests are compared on the basis of a Monte Carlo experiment. In these experiments it is found that the separate tests are frequently more powerful than the Lagrange multiplier tests, even for alternatives against which the latter are asymptotically optimal.

Original languageEnglish
Pages (from-to)169-189
Number of pages21
JournalJournal of Time Series Analysis
Volume9
Issue number2
DOIs
Publication statusPublished - 1988
Externally publishedYes

    Fingerprint

Keywords

  • Autoregressive models
  • inappropriate alternatives
  • Lagrange multiplier tests
  • moving‐average models
  • separate hypotheses
  • small‐sample properties

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Cite this