Improvement of the likelihood ratio test statistic in ARMA models

Morettin, PA

Abstract

In this paper, we develop a Bartlett correction for the likelihood ratio statistic used to test hypotheses about parameters of a Gaussian stationary and invertible model belonging to the ARMA (autoregressive moving average) family. Alternative hypotheses with and without disturbance parameters are considered. The correction formulae are written in matrix form with the advantage of being easily implemented with the aid of some symbolic or numerical matrix language. Some simulation results are also presented.

Más información

Título según WOS: Improvement of the likelihood ratio test statistic in ARMA models
Título según SCOPUS: Improvement of the likelihood ratio test statistic in ARMA models
Título de la Revista: JOURNAL OF TIME SERIES ANALYSIS
Volumen: 25
Número: 1
Editorial: Wiley
Fecha de publicación: 2004
Página de inicio: 83
Página final: 101
Idioma: English
URL: http://doi.wiley.com/10.1111/j.1467-9892.2004.00338.x
DOI:

10.1111/j.1467-9892.2004.00338.x

Notas: ISI, SCOPUS