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TESTING SEPARATE TIME SERIES MODELS
Author(s) -
McAleer Michael,
McKenzie C. R.,
Hall A. D.
Publication year - 1988
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1988.tb00462.x
Subject(s) - lagrange multiplier , mathematics , monte carlo method , series (stratigraphy) , multiplier (economics) , statistical hypothesis testing , range (aeronautics) , statistics , sample size determination , score test , mathematical optimization , paleontology , materials science , macroeconomics , economics , composite material , biology
. 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.