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The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model

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Author Info
B. Pötscher

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File URL: http://hdl.handle.net/10.1007/BF01897808
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Publisher Info
Article provided by Springer in its journal Metrika.

Volume (Year): 32 (1985)
Issue (Month): 1 (December)
Pages: 129-150
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Handle: RePEc:spr:metrik:v:32:y:1985:i:1:p:129-150

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References listed on IDEAS
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.:

  1. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
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Cited by:
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  1. Donald W.K. Andrews & Werner Ploberger, 1994. "Testing for Serial Correlation Against an ARMA(1,1) Process," Cowles Foundation Discussion Papers 1077, Cowles Foundation, Yale University. [Downloadable!]
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This page was last updated on 2009-12-31.

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