An omnibus test for the time series model AR(1)

Journal of Econometrics

Volumn 118, Issue 1-2, 2004, Pages 111-127

  Anderson, T W ^a   Lockhart, R A ^b   Stephens, M A ^b  

^a STANFORD UNIVERSITY   (United States)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

Cram r von Mises test; Goodness of fit; Spectral distribution

Indexed keywords

ASYMPTOTIC STABILITY; CORRELATION METHODS; ERROR ANALYSIS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS; REGRESSION ANALYSIS; SPECTRUM ANALYSIS; STATISTICAL TESTS; VARIATIONAL TECHNIQUES;

AUTOREGRESSIVE (AR) ANALYSIS; ECONOMETRICS;

TIME SERIES ANALYSIS;

EID: 0346724432     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00137-4     Document Type: Article

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