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MacKenzie, C. R.
MacAleer, Michael
Year of Publication: 
Series/Report no.: 
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 537
The purpose of this paper is to use Bahadur's asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each other, and classical procedures based upon testing both the AR and MA error processes against the more general autoregressive-moving average model.
autoregressive model
Bahadur efficiency
inappropriate alteratives
Lagrange multiplier test
moving average model
separate (non-nested) tests
Document Type: 
Working Paper

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