Open Access
September, 1981 An Approach to Testing Linear Times Series Models
D. S. Poskitt, A. R. Tremayne
Ann. Statist. 9(5): 974-986 (September, 1981). DOI: 10.1214/aos/1176345577

Abstract

The purpose of this paper is to develop diagnostic tests for open-loop transfer function models with autoregressive-moving average stochastic disturbances using the efficient scores procedure. The tests proposed are asymptotically equivalent to those based upon the likelihood ratio principle and have the advantage that they do not involve a heavy computational burden. Consideration is given both to the standard case of nonsingular information matrices and to the situation obtaining when there are identifiability problems and application of conventional large sample test procedures is not feasible. Relationships between score tests and portmanteau tests in time series analysis are also investigated. Some simulation evidence on the finite sample behaviour of the tests is presented and it is seen that the tests of this paper perform well.

Citation

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D. S. Poskitt. A. R. Tremayne. "An Approach to Testing Linear Times Series Models." Ann. Statist. 9 (5) 974 - 986, September, 1981. https://doi.org/10.1214/aos/1176345577

Information

Published: September, 1981
First available in Project Euclid: 12 April 2007

zbMATH: 0479.62069
MathSciNet: MR628753
Digital Object Identifier: 10.1214/aos/1176345577

Subjects:
Primary: 62M10
Secondary: 62F05

Keywords: Autoregressive-moving average , Identifiability , pure significance test , score test , transfer function

Rights: Copyright © 1981 Institute of Mathematical Statistics

Vol.9 • No. 5 • September, 1981
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