IMPROVED TESTS FOR THE FIRST-ORDER AUTOREGRESSIVE MODEL WITH HETEROSCEDASTICITY

被引：0
|
作者：
LYON, J
TSAI, CL
机构：
[1] Graduate School of-Management, University of California, Davis, CA
来源：
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 1995年 / 52卷 / 01期
关键词：
AUTOCORRELATION; HETEROSCEDASTICITY; MODIFIED LIKELIHOOD RATIO TEST; SCORE TEST;
D O I：
10.1080/00949659508811652
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In the first-order autoregressive model with nonconstant variance, likelihood ratio tests, score tests and modified likelihood ratio tests are derived to test each of the following hypotheses: (i) independence and homoscedasticity, (ii) independence, and (iii) homoscedasticity. Monte Carlo studies show that likelihood ratio tests can be very anticonservative, score tests are conservative and modified likelihood ratio tests are reliable and powerful tests. In addition, modified likelihood ratio tests for testing hypotheses (ii) and (iii) are robust in the presence of heteroscedasticity and autocorrelation, respectively.
引用
收藏
页码：71 / 83
页数：13
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