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Power of the Lagrange multiplier test for testing an autoregressive unit root

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  • Luukkonen, Ritva
  • Saikkonen, Pentti

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File URL: http://www.sciencedirect.com/science/article/B6V84-3VVVRP4-4/2/f90d1ad9e633a1f338a60e92d9f0267a
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 51 (1996)
Issue (Month): 1 (April)
Pages: 27-35

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Handle: RePEc:eee:ecolet:v:51:y:1996:i:1:p:27-35

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  1. Saikkonen, Pentti, 1993. "A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root," Econometric Theory, Cambridge University Press, vol. 9(03), pages 494-498, June.
  2. Pötscher, B.M., 1991. "Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models," Econometric Theory, Cambridge University Press, vol. 7(04), pages 435-449, December.
  3. Tanaka, Katsuto & Satchell, S.E., 1989. "Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models," Econometric Theory, Cambridge University Press, vol. 5(03), pages 333-353, December.
  4. Said, Said E., 1991. "Unit-roots test for time-series data with a linear time trend," Journal of Econometrics, Elsevier, Elsevier, vol. 47(2-3), pages 285-303, February.
  5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
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