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

Colin R. Mckenzie, Michael Mcaleer, Len Gill

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)239-252
ページ数14
ジャーナルJapanese Economic Review
50
3
DOI
出版ステータスPublished - 1999 9月
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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