Abstract This paper proposes an improved likelihood-based method to test the hypothesis that the disturbances of a linear regression model are generated by a first-order autoregressive process against the alternative that they follow a first-order moving average scheme. Compared with existing tests which usually rely on the asymptotic properties of the estimators, the proposed method has remarkable accuracy, particularly in small samples. Simulations studies are provided to show the superior accuracy of the method compared to the traditional tests. An empirical example using Canada real interest rate illustrates the implementation of the proposed method in practice.

中文翻译：

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回归模型中自回归和移动平均扰动之间的改进选择检验

摘要本文提出了一种基于似然的改进方法来检验以下假设：线性回归模型的干扰是由一阶自回归过程产生的，而不是遵循一阶移动平均方案的。与通常依赖估计量渐近特性的现有测试相比，该方法具有显着的准确性，尤其是在小样本中。仿真研究表明，与传统测试相比，该方法具有更高的准确性。一个使用加拿大实际利率的经验示例说明了该方法在实践中的实现。