Univariate tests for time series models / Jeff B. Cromwell, Walter C. Labys, Michel Terraza.

Format:

Book

Author/Creator:

Cromwell, Jeff B.

Contributor:

Labys, Walter C., 1937-

Terraza, Michel.

Series:

Quantitative applications in the social sciences ; no. 99.

Quantitative applications in the social sciences ; 99

Language:

English

Subjects (All):

Social sciences--Statistical methods.

Social sciences.

Time-series analysis.

Physical Description:

vi, 96 pages : illustrations ; 22 cm.

Place of Publication:

Thousand Oaks, Calif. : Sage Publications, [1994]

Summary:

Taking a sequential approach to time-series model building, this book explores how to test for stationarity, normality, independence, linearity, model order, and properties of the residual process. The authors clearly define each testing procedure and offer examples to illustrate each concept. The authors also provide advice on how to perform the tests using different software packages. "This provides a nice roadmap for those doing time series analysis, and the authors should be applauded for this... Their approach is straightforward and logical and I believe will be useful many practicing statisticians." --Technometrics

Contents:

Independence 4

Decomposition 5

Structure 6

Stationarity 7

Time Series Tests and Model Building 8

2. Testing for Stationarity 10

Transformations 10

Random Walk 12

Dickey-Fuller Test 13

Augmented Dickey-Fuller Test 16

3. Testing for Normality 19

Normal Distribution Test 19

Jarque-Bera Test 20

Studentized Range Test 23

4. Testing for Independence 24

Ljung-Box and Box-Pierce Test 25

Turning Point Test 27

Runs Test 28

Rank Version of the von Neumann Ratio Test 31

Brock, Dechert, and Scheinkman Test 32

5. Testing for Linear or Nonlinear Dependence 37

Keenan Test 37

Luukkonen Test 41

McLeod-Li Test 43

Hsieh Test 45

6. Linear Model Specification 49

Autoregressive Models 49

Moving-Average Models 50

Autoregressive Moving-Average Models 51

Order of Integration 51

7. Nonlinear Model Specification 53

Autoregressive Conditional Heteroscedastic Models 54

Bilinear Models 57

Threshold Autoregressive Models 58

Exponential Autoregressive Models 59

8. Testing for Model Order 60

Likelihood Ratio Test 61

Final Prediction Error Test 63

Autoregressive Transfer Function Test 65

Akaike Information Criterion Test 66

Bayesian Information Criterion Test 66

Bayesian Estimation Method Test 67

Schwarz Test 67

Hannan-Quinn Criterion Test 67

9. Testing the Residual Process 70

Specification Test 70

ARCH Test 73

Bilinear Test 74

10. Computational Methods for Performing the Tests 76

A.1 Critical Values for Dickey-Fuller Test Statistics 79

B.1 Areas under the Standard Normal Distribution 80

B.2 Percentage Points of the t Distribution 81

B.3 Upper Percentage Points of the F Distribution 82

B.4 Upper Percentage Points of the X[superscript 2] Distribution 88.

Notes:

Includes bibliographical references (pages 90-94).

ISBN:

080394991X

OCLC:

28963949