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Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model

  • King, Maxwell L
  • McAleer, Michael

A Monte Carlo experiment compares the small-sample properties of the Cox test, some linearized Cox tests, and an approximate point optimal test for AR(1) against MA(1) disturbances, as well as a Lagrange multiplier test of AR(1) against ARMA (1,1) disturbances. The true sizes of the asymptotic non-nested tests can differ considerably from their nominal sizes; t he Lagrange multipliers test's sizes are reasonably accurate; and the point optimal test is generally more powerful when appropriate criti cal values are used. When sizes are controlled at an arbitrary value of the AR(1) parameter, the relative power of the Cox test is increas ed. Copyright 1987 by The Review of Economic Studies Limited.

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Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 54 (1987)
Issue (Month): 4 (October)
Pages: 649-63

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Handle: RePEc:bla:restud:v:54:y:1987:i:4:p:649-63
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