Improvement of the Likelihood Ratio Test Statistic in ARMA Models

Bernardo M. Lagos and Pedro A. Morettin

Journal of Time Series Analysis, 2004, vol. 25, issue 1, 83-101

Abstract: In this paper, we develop a Bartlett correction for the likelihood ratio statistic used to test hypotheses about parameters of a Gaussian stationary and invertible model belonging to the ARMA (autoregressive moving average) family. Alternative hypotheses with and without disturbance parameters are considered. The correction formulae are written in matrix form with the advantage of being easily implemented with the aid of some symbolic or numerical matrix language. Some simulation results are also presented.

Date: 2004
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https://doi.org/10.1111/j.1467-9892.2004.00338.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:25:y:2004:i:1:p:83-101

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