A score type test for general autoregressive models in time series

Jian Hong Wu*, Lixing ZHU

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

1 Citation (Scopus)


This paper is devoted to the goodness-of-fit test for the general autoregressive models in time series. By averaging for the weighted residuals, we construct a score type test which is asymptotically standard chi-squared under the null and has some desirable power properties under the alternatives. Specifically, the test is sensitive to alternatives and can detect the alternatives approaching, along a direction, the null at a rate that is arbitrarily close to n -1/2. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. The performance of the tests is evaluated through simulation studies.

Original languageEnglish
Pages (from-to)439-450
Number of pages12
JournalActa Mathematicae Applicatae Sinica
Issue number3
Publication statusPublished - Jul 2007

Scopus Subject Areas

  • Applied Mathematics

User-Defined Keywords

  • Autoregressive model
  • Goodness-of-fit
  • Maximin test
  • Model checking
  • Score type test
  • Time series


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