TESTING SEPARATE TIME SERIES MODELS

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

研究成果: Article査読

15 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)169-189
ページ数21
ジャーナルJournal of Time Series Analysis
9
2
DOI
出版ステータスPublished - 1988
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

フィンガープリント

「TESTING SEPARATE TIME SERIES MODELS」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル