EconPapers    
Economics at your fingertips  
 

TESTING SEPARATE TIME SERIES MODELS

Michael McAleer, Colin McKenzie and Anthony Hall ()

Journal of Time Series Analysis, 1988, vol. 9, issue 2, 169-189

Abstract: Abstract. We develop simple procedures for testing the adequacy of separate time series models. The test statistics may be calculated using auxiliary regressions that are very similar to those used for calculating Lagrange multiplier test statistics. While the separate tests are designed to yield high power against separate alternatives, they are also powerful as diagnostic checks against a range of inappropriate alternatives. The small‐sample properties of the separate and Lagrange multiplier tests are compared on the basis of a Monte Carlo experiment. In these experiments it is found that the separate tests are frequently more powerful than the Lagrange multiplier tests, even for alternatives against which the latter are asymptotically optimal.

Date: 1988
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1988.tb00462.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:2:p:169-189

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-10-05
Handle: RePEc:bla:jtsera:v:9:y:1988:i:2:p:169-189