The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
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- Kohn, R, 1979. "Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models," Econometrica, Econometric Society, vol. 47(4), pages 1005-1030, 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.
- 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 1187-1207, July.
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- 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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