Hypothesis testing based on goodness-of-fit in the moving average time series model |
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Authors: | Charles R Nelson Gary S Shea |
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Institution: | University of Washington, Seattle, WA 98195, USA |
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Abstract: | Small sample properties of t-tests are compared with those of tests based on relative goodness- of-fit in the context of the first order moving average time series model. Monte Carlo experiments reported in the paper suggest that the actual size of these t-tests greatly exceeds theoretical large sample significance levels, while conformity of goodness-of-fit statistics to the appropriate chi-square or F-distributions is much closer. The evidence presented suggests that practitioners are well advised to employ goodness-of-fit tests as a check on results of t-tests particularly when the latter indicate ‘significance’. |
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