Premium
ON A TEST OF FIT IN TIME SERIES MODELS
Author(s) -
Beveridge Stephen
Publication year - 1983
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1983.tb01216.x
Subject(s) - statistics , series (stratigraphy) , mathematics , null hypothesis
Summary It is shown that a test for adequacy of a fitted Arma (p, 4) model based on forecast errors, has the same asymptotic expected value whether the null hypothesis is true or false. A sampling study supports the conclusion in small to moderately large samples and indicates that for sample sizes commonly used by practitioners, the power of the test is very low.