Title

Testing for Serial Correlation against an ARMA(1,1) Process

Document Type

Discussion Paper

Publication Date

9-1-1994

CFDP Number

1077

CFDP Pages

29

Abstract

This paper is concerned with tests for serial correlation in time series and in the errors of regression models. In particular, the nonstandard problem of testing for white noise against ARMA(1,1) alternatives is considered. Sup Lagrange multiplier (LM) and exponential average LM tests are introduced and are shown to be asymptotically admissible for ARMA(1,1) alternatives. In addition, they are shown to be consistent against all (weakly stationary strong mixing) non-white noise alternatives. Simulation results compare the tests to several tests in the literature. These results show that the Exp-LM infinity test has very good all-around power.

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