{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,3]],"date-time":"2026-01-03T06:43:57Z","timestamp":1767422637887,"version":"build-2065373602"},"reference-count":31,"publisher":"MDPI AG","issue":"12","license":[{"start":{"date-parts":[[2022,12,1]],"date-time":"2022-12-01T00:00:00Z","timestamp":1669852800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100001809","name":"NSF of China","doi-asserted-by":"publisher","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100012456","name":"National Social Science Foundation of China","doi-asserted-by":"publisher","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}],"id":[{"id":"10.13039\/501100012456","id-type":"DOI","asserted-by":"publisher"}]},{"name":"Outstanding Youth Fund Project of the Science and Technology Department of Jiangxi Province","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}]},{"DOI":"10.13039\/501100001809","name":"Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100002858","name":"China Postdoctoral Science Foundation","doi-asserted-by":"publisher","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}],"id":[{"id":"10.13039\/501100002858","id-type":"DOI","asserted-by":"publisher"}]},{"name":"NSF of Jiangxi Province","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}]},{"name":"China Post doctoral Science Foundation","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}]},{"name":"Post doctoral Science Foundation of Jiangxi Province","award":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"],"award-info":[{"award-number":["11971208","21&ZD152","20224ACB211003","12061034","2022M711424","20192BAB201005","2020M671961","2019KY47"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Axioms"],"abstract":"<jats:p>A direct application of autoregressive (AR) models with independent and identically distributed (iid) errors is sometimes inadequate to fit the time series data well. A natural alternative is further to assume the model errors following an AR process, whose structure however has essential impacts on the statistical inferences related to the autoregressive models. In this paper, we construct a new unified test for checking the AR error structure based on the empirical likelihood method. The proposed test is desirable because its limit distribution is always chi-squared regardless of whether the autoregressive model is stationary or non-stationary, with or without an intercept term. Some simulations are also provided to illustrate the finite sample performance of this test. Finally, we apply the proposed test to a financial real data set.<\/jats:p>","DOI":"10.3390\/axioms11120690","type":"journal-article","created":{"date-parts":[[2022,12,1]],"date-time":"2022-12-01T03:32:25Z","timestamp":1669865545000},"page":"690","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["A Unified Test for the AR Error Structure of an Autoregressive Model"],"prefix":"10.3390","volume":"11","author":[{"given":"Xinyi","family":"Wei","sequence":"first","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xiaohui","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yawen","family":"Fan","sequence":"additional","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Li","family":"Tan","sequence":"additional","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qing","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2022,12,1]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"1050","DOI":"10.1214\/aos\/1176350492","article-title":"Asymptotic inference for nearly nonstationary AR (1) processes","volume":"15","author":"Chan","year":"1987","journal-title":"Ann. 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