This book attempts to develope some new inferential procedures for
time series regression models.An inferential method for a time
series linear regression model with auto correlated disturbances
using quarterly data, has been developed by proposing a test based
on internally studentized residuals.Two modified estimation
procedures have been proposed for time series regression models
involving MA (1) and MA (q) process errors.Autoregressive moving
averages and autoregressive conditionally heteroscadastic (ARCH)
processesses have been specified systematically with their
characteristics. The generalized ARCH model is specified and the
effect of error structure on ARCH model has been explained. Two
modified tests for detecting the problem of ARCH errors have been
developed by using Box-pierce-lying test statistics based on
internally studentized residuals. A new estimation procedure has
been developed for ARCH model by using an interactive technique
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