TY - JOUR
T1 - Comparing tests of autoregressive versus moving average errors in regression models using bahadur's asymptotic relative efficiency
AU - McKenzic, C. R.
AU - McAlecr, Michael
N1 - Funding Information:
The authors would like to thank John Geweke, Soren Johansen, Kimio Morimune, and especially a referee, and seminar participants at the London School of Economics, University of Cambridge, and Institute of Mathematical Statistics—University of Copenhagen, for helpful comments and suggestions. The first author wishes to acknowledge the financial support of the Asset Management Service Industry Fund, Osaka School of International Public Policy, Osaka University, and a Japanese Ministry of Education, Culture, Sports, Science, and Technology Research Grant (No. 12630099), and the second author wishes to acknowledge the financial support of the Australian Research Council, Japan Society for the Promotion of Science, Osaka School of International Public Policy at Osaka University, and the Institute of Social and Economic Research at Osaka University.
PY - 2002/8
Y1 - 2002/8
N2 - The purpose of this paper is to use Bahadur's asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each other, and classical procedures based upon testing both the AR and MA error processes against the more general autoregressive-moving average model.
AB - The purpose of this paper is to use Bahadur's asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each other, and classical procedures based upon testing both the AR and MA error processes against the more general autoregressive-moving average model.
KW - Autoregressive model
KW - Bahadur efficiency
KW - Inappropriate alteratives
KW - Lagrange multiplier test
KW - Moving average model
KW - Separate (non-nested) tests
UR - http://www.scopus.com/inward/record.url?scp=34548149522&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=34548149522&partnerID=8YFLogxK
U2 - 10.1081/sta-120006073
DO - 10.1081/sta-120006073
M3 - Article
AN - SCOPUS:34548149522
SN - 0361-0926
VL - 31
SP - 1349
EP - 1371
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
IS - 8
ER -