Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.
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Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number
405.
Length: 15 pages Date of creation: 30 Aug 1997 Date of revision: Publication status: Published in Communications in Statistics, Theory and Methods, 1998, pages 2025-2035. Handle: RePEc:hhs:umnees:0405
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