Andrews, Donald W.K.; Liu, Xuemei Liu; Ploberger, Werner - Cowles Foundation for Research in Economics, Yale University - 1996
This paper considers tests for seasonal and non-seasonal serial correlation in time series and in the errors of regression models. The problem of testing for white noise against multiplicative seasonal ARMA(l,l)-ARMA(l,l) alternatives is investigated. This testing problem is non-standard due to...