Abstract
The problem of testing linear hypotheses about the parameter vector of an autoregressive process with finite order is considered. Based on the property of local asymptotic normality, we derive asymptotically optimal statistical tests. Additionally, we define and investigate so-called residual rank tests. For these tests we obtain under the null hypothesis an asymptotic distribution which does not depend on the distribution of the innovation.
Citation
Jens-Peter Kreiss. "Testing Linear Hypotheses in Autoregressions." Ann. Statist. 18 (3) 1470 - 1482, September, 1990. https://doi.org/10.1214/aos/1176347762
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