Extending the Scope of Application
To this point we have dealt with a somewhat limited setting, namely fixeddesign regression with but a single x-variable. In Chapter 9 it will be shown that the tests discussed in Chapters 7 and 8 have a much wider range of application. We shall consider some of the settings in which order selection tests are potentially useful. Our treatment of each setting will be more speculative and not nearly so comprehensive as in Chapters 7 and 8. The goal is not to state and prove an array of theorems on asymptotic distribution theory, but rather to provide a sense of the scope of application of order selection tests.
KeywordsWhite Noise Order Selection Standard Normal Random Variable Portmanteau Test Order Autoregressive Process
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