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- W2427132203 abstract "SUMMARY In this paper we consider the application of hypothesis testing procedures to ARMAX systems. The score, or Lagrangian multiplier, principle is used to obtain misspecification tests appropriate to these models. The structure of the information or sensitivity matrix is investigated in order to discuss the identifiability of alternative models and is used to show the existence of a set of admissible alternatives that are locally equivalent to one another. This notion is then developed to suggest why the score test is to be regarded as a pure significance test." @default.
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- W2427132203 date "1984-01-01" @default.
- W2427132203 modified "2023-09-23" @default.
- W2427132203 title "Testing Misspecification in Vector Time Series Models with Exogenous Variables" @default.
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- W2427132203 doi "https://doi.org/10.1111/j.2517-6161.1984.tb01303.x" @default.
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