The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

Anders Rygh Swensen

Journal of Multivariate Analysis, 1985, vol. 16, issue 1, 54-70

Abstract: It is shown that the likelihood ratio of an autoregressive time series of finite order with a regression trend is asymptotically normal. This result is used to derive the power of a test for positive correlation of the residuals under local autoregressive alternatives. The test is based on the Durbin-Watson statistics.

Keywords: Regression; autoregressive; errors; local; asymptotic; normality; test; for; dependence (search for similar items in EconPapers)
Date: 1985
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Citations: View citations in EconPapers (27)

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