An Asymptotic Expansion for the Distribution of the Likelihood Radio Criterion for a Gaussian Autoregressive Moving Average Process Under a Local Alternative

Masanobu Taniguchi

Econometric Theory, 1985, vol. 1, issue 1, 73-84

Abstract: In this paper, we shall derive the asymptotic expansion for the distribution of the likelihood ratio criterion for a Gaussian autoregressive moving average process under a sequence of local alternative hypotheses converging to the null hypothesis with rate of convergence where n is the sample size. Explicit algebraic formulae are presented for certain special cases, including the ARMA(1,1).

Date: 1985
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

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:cup:etheor:v:1:y:1985:i:01:p:73-84_01

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().