TY - JOUR
AU - Tremayne, A., R.
AB - Abstract This paper is concerned with the problem of testing the hypothesis that the disturbances of a regression model are generated by a first-order autoregressive process against the alternative assumption that they follow a first-order moving average scheme. The test proposed has the advantages of requiring only ordinary least squares estimation and of being simple to implement. Some Monte Carlo results on the finite sample behaviour of the test are provided. This content is only available as a PDF. © 1990 The Society for Economic Analysis Limited
TI - Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
JO - The Review of Economic Studies
DO - 10.2307/2297547
DA - 1990-01-01
UR - https://www.deepdyve.com/lp/oxford-university-press/testing-ar-1-against-ma-1-disturbances-in-the-linear-regression-model-YuQj0wlM4b
SP - 135
EP - 145
VL - 57
IS - 1
DP - DeepDyve
ER -