Improved inference for first-order autocorrelation using likelihood analysis
نویسندگان
چکیده
منابع مشابه
Improved Inference for First-order Autocorrelation Using Likelihood Analysis
Testing for first-order autocorrelation in small samples using the standard asymptotic test can be seriously misleading. Recent methods in likelihood asymptotics are used to derive more accurate p-value approximations for testing the autocorrelation parameter in a regression model. The methods are based on conditional evaluations and are thus specific to the particular data obtained. A numerica...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2008
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2007.00567.x