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Biometrika 1985 72(2):293-297; doi:10.1093/biomet/72.2.293
© 1985 by Biometrika Trust
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Testing normality in autoregressive models

DONALD A. PIERCE

Department of Statistics, Oregon State University Corvallis, Oregon 97331, U.S.A

It is shown that any test of normality computed from autoregressive residuals has the same limiting null distribution as for the standard case of independent, identically distributed observations with estimated parameters. Some numerical results are given to indicate that this approximation is acceptable for sample size 20 in first- and second-order models. Limited numerical results are also given to explore the effect of incorrectly specifying the order.

Key Words: Asymptotic distribution • Autoregressive model • Goodness-of-fit test • Residual • Test of normality


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