State Space and Unobserved Component Models

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• Print publication year: 2004
• Online publication date: January 2010

5 - A goodness-of-fit test for AR(1) models and power against state space alternatives

• By T.W. Anderson, Departments of Statistics and Economics, Stanford University, Michael A. Stephens, Department of Statistics and Actuarial Science, Simon Fraser University
• Edited by Andrew Harvey, University of Cambridge, Siem Jan Koopman, Vrije Universiteit, Amsterdam, Neil Shephard, University of Oxford
• Publisher: Cambridge University Press
• https://doi.org/10.1017/CBO9780511617010.006
• pp 92-101