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5 - A goodness-of-fit test for AR(1) models and power against state space alternatives

Published online by Cambridge University Press:  06 January 2010

By
T.W. Anderson  and
Michael A. Stephens
Edited by
Andrew Harvey ,
Siem Jan Koopman  and
Neil Shephard
T.W. Anderson
Affiliation:
Departments of Statistics and Economics, Stanford University
Michael A. Stephens
Affiliation:
Department of Statistics and Actuarial Science, Simon Fraser University
Andrew Harvey
Affiliation:
University of Cambridge
Siem Jan Koopman
Affiliation:
Vrije Universiteit, Amsterdam
Neil Shephard
Affiliation:
University of Oxford
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State Space and Unobserved Component Models
Theory and Applications
 , pp. 92 - 101
Publisher: Cambridge University Press
Print publication year: 2004

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