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Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency

Colin McKenzie and Michael McAleer

ISER Discussion Paper from Institute of Social and Economic Research, Osaka University

Abstract: The purpose of this paper is to use Bahadur's asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each other, and classical procedures based upon testing both the AR and MA error processes against the more general autoregressive-moving average model.

Date: 2001-05
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