𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Hypothesis testing for some time-series models: a power comparison

✍ Scribed by A. Thavaneswaran; Shelton Peiris

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
246 KB
Volume
38
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.

✦ Synopsis

Following the general approach for constructing test statistics for stochastic models based on optimal estimating functions by Thavaneswaran (1991), a new test statistic via martingale estimating function is proposed. Applications to some time-series models such as random coefficient autoregressive (RCA) models are discussed. It is shown that the choice of an optimal estimating function according to Godambe's (1985) criterion leads to optimal power against a fixed alternative. (~

πŸ“œ SIMILAR VOLUMES

A comparison of tests for setar-type non
A comparison of tests for setar-type non-linearity in time series
✍ Joseph D. Petruccelli πŸ“‚ Article πŸ“… 1990 πŸ› John Wiley and Sons 🌐 English βš– 628 KB

Tests for SETAR-type non-linearity in time series have recently been proposed by , W. S. Chan and Tong (1986, Luukkonen et a/. (1988 and . In this paper we consider the relative performance of these tests. KEY WORDS Non-linear time series SETAR-type non-linearity CUSUMS Lagrange-multiplier tests Lik

Some comparisons of the relative power o
Some comparisons of the relative power of simple tests for structural change in regression models
✍ Michael Bleaney πŸ“‚ Article πŸ“… 1990 πŸ› John Wiley and Sons 🌐 English βš– 490 KB

## Abstract The power of Chow, linear, predictive failure and cusum of squares tests to detect structural change is compared in a two‐variable random walk model and a once‐for‐all parameter shift model. In each case the linear test has greatest power, followed by the Chow test. It is suggested that