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Hypothesis testing for some time-series models: a power comparison

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  • Thavaneswaran, A.
  • Peiris, Shelton

Abstract

Following the general approach for constructing test statistics for stochastic models based on optimal estimating functions by Thavaneswaran (1991), a new test statistic via martingale estimating function is proposed. Applications to some time-series models such as random coefficient autoregressive (RCA) models are discussed. It is shown that the choice of an optimal estimating function according to Godambe's (1985) criterion leads to optimal power against a fixed alternative.

Suggested Citation

  • Thavaneswaran, A. & Peiris, Shelton, 1998. "Hypothesis testing for some time-series models: a power comparison," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 151-156, June.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:2:p:151-156
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    References listed on IDEAS

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    1. A. Thavaneswaran & B. Abraham, 1988. "Estimation For Non‐Linear Time Series Models Using Estimating Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(1), pages 99-108, January.
    2. Tjøstheim, Dag, 1986. "Estimation in nonlinear time series models," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 251-273, February.
    3. Hutton, James E. & Nelson, Paul I., 1986. "Quasi-likelihood estimation for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 22(2), pages 245-257, July.
    4. Thavaneswaran, A. & Peiris, Shelton, 1996. "Nonparametric estimation for some nonlinear models," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 227-233, July.
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