Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/92622 
Year of Publication: 
2001
Series/Report no.: 
ISER Discussion Paper No. 537
Publisher: 
Osaka University, Institute of Social and Economic Research (ISER), Osaka
Abstract: 
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.
Subjects: 
autoregressive model
Bahadur efficiency
inappropriate alteratives
Lagrange multiplier test
moving average model
separate (non-nested) tests
Document Type: 
Working Paper

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