The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
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Bibliographic InfoArticle provided by Springer in its journal Metrika.
Volume (Year): 32 (1985)
Issue (Month): 1 (December)
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Web page: http://www.springerlink.com/link.asp?id=102509
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kohn, R, 1979. "Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models," Econometrica, Econometric Society, vol. 47(4), pages 1005-30, July.
- Deistler, Manfred, 1983. "The Properties of the Parameterization of ARMAX Systems and Their Relevance for Structural Estimation and Dynamic Specification," Econometrica, Econometric Society, vol. 51(4), pages 1187-207, July.
- Deistler, M. & Hannan, E. J., 1981. "Some properties of the parameterization of ARMA systems with unknown order," Journal of Multivariate Analysis, Elsevier, vol. 11(4), pages 474-484, December.
- Donald W.K. Andrews & Werner Ploberger, 1994. "Testing for Serial Correlation Against an ARMA(1,1) Process," Cowles Foundation Discussion Papers 1077, Cowles Foundation for Research in Economics, Yale University.
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