A model selection test for an AR(1) versus and MA(1) model
January 1992
Article
pp 281-284.
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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
Automatically Extracted Terms
- model
- statistic
- 0.10
- 0.05
- rejection rate
- selection
- test statistic
- rejection
- hypothesis
- series
- result
- parameter
- testing
- test statistics
- sample
- qan test
- autocorrelation
- value
- process
- burke
