• Title of article

    Power of the Lagrange multiplier test for testing an autoregressive

  • Author/Authors

    Luukkonen، نويسنده , , Ritva; Saikkonen، نويسنده , , Pentti ، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1996
  • Pages
    9
  • From page
    27
  • To page
    35
  • Abstract
    It is shown that some Lagrange multiplier tests proposed for testing an autoregressive unit root in autoregressive integrated moving average models can have very low power when applied to models with a moving average part.
  • Keywords
    Autoregressive integrated moving average model , Lagrange multiplier test , Autoregressive unit root
  • Journal title
    Economics Letters
  • Serial Year
    1996
  • Journal title
    Economics Letters
  • Record number

    434090

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=434090