A model selection test for an AR(1) versus and MA(1) model
This paper proposes a model selection test statistic for the choice between an AR(1) and an MA(1) model. It is a function of the first two sample autocorrelations of a time series. This establishes that it can be compared directly with a statistic given in Burke, Godfrey and Tremayne (1990). From Monte Carlo evidence it appears that the new test meets its purpose more.
|Keywords||model selection, time series|
|Persistent URL||dx.doi.org/10.1016/0167-7152(92)90163-Y, hdl.handle.net/1765/2058|
Franses, Ph.H.B.F.. (1992). A model selection test for an AR(1) versus and MA(1) model. Statistics & Probability Letters, 281–284. doi:10.1016/0167-7152(92)90163-Y