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Biometrika 1980 67(2):359-363; doi:10.1093/biomet/67.2.359
© 1980 by Biometrika Trust
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Testing the specification of a fitted autoregressive-moving average model

D. S. POSKITT and A. R. TREMAYNE

Department of Economics and Related Studies, University of York

This paper provides an extension of the application of score, or Lagrangian multiplier, tests to diagnostic checking of ARMA, autoregressive-moving average, models. The score test procedure for testing the null hypothesis of an ARMA(p,q) process against certain ARMA (p{boxplus}r, q{boxplus}s) alternatives is considered and shown to be of the form of a pure significance test.

Key Words: Autoregressive-moving average model • Significance test • Singular information matrix.


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