A model selection test for an AR (1) versus an MA (1) model

Philip Hans Franses

Statistics & Probability Letters, 1992, vol. 15, issue 4, 281-284

Abstract: This paper proposes a model selection test statistic for the choice between an AR(1) and an MA(1) model. It is a function of the first two sample autocorrelations of a time series. This establishes that it can be compared directly with a statistic given in Burke, Godfrey and Tremayne (1990). From Monte Carlo evidence it appears that the new test meets its purpose more.

Keywords: Time; series; model; selection (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (2)

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