Études de séries chronologiques linéaires à temps discret. Comparaison de logiciels
Borgard, F. ; Guégan, D.
Revue de Statistique Appliquée, Tome 44 (1996), p. 59-80 / Harvested from Numdam
Access to full text
Full (PDF)
Full (DJVU)
Publié le : 1996-01-01
@article{RSA_1996__44_4_59_0,
     author = {Borgard, F. and Gu\'egan, D.},
     title = {\'Etudes de s\'eries chronologiques lin\'eaires \`a temps discret. Comparaison de logiciels},
     journal = {Revue de Statistique Appliqu\'ee},
     volume = {44},
     year = {1996},
     pages = {59-80},
     language = {fr},
     url = {http://dml.mathdoc.fr/item/RSA_1996__44_4_59_0}
}

Borgard, F.; Guégan, D. Études de séries chronologiques linéaires à temps discret. Comparaison de logiciels. Revue de Statistique Appliquée, Tome 44 (1996) pp. 59-80. http://gdmltest.u-ga.fr/item/RSA_1996__44_4_59_0/

[1] Akaike H. (1969), «Fitting Autoregressive Models for Prediction », Annals of the Institute of Statistical Mathematics, 21, 243- 247. | MR 246476 | Zbl 0202.17301

[2] Akaike H. (1977), «On Entropy Maximisation Principle», dans Applications of Statistics, Editeur Krisnaiah, 27-41, North-Holland. | MR 501456 | Zbl 0388.62008

[3] Box G. et Jenkins G. (1970), «Time Series Analysis : Forecasting and Control », Holden-Day. | MR 272138 | Zbl 0249.62009

[4] Box G. et Pierce D. (1970), «Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models», Journal of the American Statistical Association 65, 1509-1526. | MR 273762 | Zbl 0224.62041

[5] Brockwell P.J. et Davis R.A. (1991), «Time Series : Theory and Methods», Springer-Verlag a-172, b-223 -224, c- 239-240, d- 239-245, e- 241, f-256- 258, g-338, h-339. | MR 1093459 | Zbl 0709.62080

[6] Chow G. (1970), «Technological Change and the Demand for Computers ", American Economic Review, Vol. 65.

[7] Chow G. (1984), «Random and Changing Coefficient Models» Handbook of Econometrics, Vol. 2 1213-1245. Griliches Z. et Intriligators Y. éditeurs Amsterdam North-Holland. | MR 772383 | Zbl 0589.62049

[8] Dickey D. et Fuller W. (1979), «Distribution of the Estimators for Autoregressive Time Series with a Unit Root», Journal of the American Statistical Association 74, 427-431. | MR 548036 | Zbl 0413.62075

[9] Dickey D. et Fuller W. (1981), «Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root», Econometrica, 49, 1057- 1072. | MR 625773 | Zbl 0471.62090

[10] Durbin J. et Watson G. (1950) et (1951), « Testing for Serial Correlation in Least-Squares Regression», Biometrika, Vol. 37 et Vol. 38. | Zbl 0042.38201

[11] Durbin J. (1970), «Testing for Serial Correlation in Least-Squares Regression when Some of the Regressors are lagged Dependent », Biometrika, Vol. 58.

[12] Engle R. (1982), «Autoregressive Conditional Heteroskedasticity, with Estimates of the Variance of United Kingdom Inflations», Econometrica, 50, 987-1008. | MR 666121 | Zbl 0491.62099

[13] Godfrey L. (1979), «Testing the Adequacy of a Time Series Model», Biometrika, 64, 67-72. | MR 529149 | Zbl 0397.62063

[ 14] Godfrey L. (1981), « On the Invariance of Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis», Econometrica, 49, 1443-1455. | MR 636162 | Zbl 0463.62106

[15] Jarque C. et Bera A. (1980), «Efficient Tests for Normality, Homoskedasticity and Serial Independence of Regression Residual » Econometrics Letters, 6, 255-259. | MR 615323

[16] Johansen S. (1991), «Estimation and Hypothesis Testing of Co-Integration Vectors in Gaussian Vector Autoregressive Models », Econometrica 59, 1551-1580. | MR 1135641 | Zbl 0755.62087

[17] Gourieroux C. et Monfort A. (1990), «Séries temporelles et Modèles dynamiques », Economica a-202, b-239, c-714.

[18] Harvey L. (1989), «Forecasting, Structural Time Series Models and the Kalman Filter», Cambridge University Press. | Zbl 0725.62083

[19] Hosking J.R. (1980), «Lagrange Multiplier Tests of Time Series Models», Journal of the Royal Statistical Society. B, 42, 170-181. | MR 583352 | Zbl 0431.62060

[20] Ljung G. et Box G. (1978), «On a Measure of Lack of Fit in Times Series Models », Biometrika, 65, 297-303. | Zbl 0386.62079

[21] Lutkepohl H., «Introduction to Multiple Time Series Analysis », Springer-Verlag. 93- 95 et 378- 379. | MR 1125072 | Zbl 0835.62075

[22] Mcleod A. et Li W. (1983), «Diagnostic Checking ARMA Time Series Models using Squared Residual Autocorrelations», Journal of Time Series Analysis, 4, 269-273. | MR 738587 | Zbl 0536.62067

[23] Phillips P. (1987), «Time Series Regression with a Unit Root», Econometrica, 55, 277-301. | MR 882096 | Zbl 0613.62109

[24] Phillips P. et Perron P. (1988), «Testing for a Unit Root in Time Series Regression», Biometrika, 75, 335-346. | MR 946054 | Zbl 0644.62094

[25] Ramsey, (1969), «Tests for Specification Errors in Classical Linear Least Squares Regression Analysis», Journal of the Royal Statistical Society, Series B, 31, 350-371. | MR 290502 | Zbl 0179.48902

[26] Wei W. (1990), «Time Series Analysis Univariate and Multivariate Methods. Addison Wisley. | MR 1045443 | Zbl 0683.62044

[27] White H. (1980), «A Heteroskedasticity-Consistent Covariance Estimator and a Direct Test for Heteroskedasticity», Econometrica, Vol. 48, 817-838. | MR 575027 | Zbl 0459.62051

[28] Whittle P. (1951), «Hypothesis Testing in Time Series», Analysis Hareferer, New-York. | MR 40634

[29] Said S. et Dickey D. (1984), «Testing for Unit Roots in ARMA of Unknown Order », Biometrika 71, 599-607. | MR 775407 | Zbl 0564.62075