ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS

Pentti Saikkonen

Journal of Time Series Analysis, 1983, vol. 4, issue 1, 69-78

Abstract: Abstract. Two frequency domain tests of fit for autoregressive moving average time series models are considered. The tests are slight generalizations of those introduced by Cameron (1978) and Milhøj (1981). It is shown that according to asymptotic relative efficiency the test by Milhøj outperforms the test by Cameron. However, if asymptotic relative efficiency is used as a standard of comparison, both of these tests are extremely poor as compared to the well‐known time domain test of Box and Pierce (1970), for the asymptotic relative efficiency of the frequency domain tests as compared to the Box‐Pierce test is zero.

Date: 1983
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