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

DOI10.1016/0165-1765(95)00790-3zbMath0875.62602OpenAlexW2051499448MaRDI QIDQ1351108

Pentti Saikkonen, Ritva Luukkonen

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00790-3

zbMATH Keywords

Lagrange multiplier testAutoregressive integrated moving average modelAutoregressive unit root

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unit-roots test for time-series data with a linear time trend
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Order of Differencing in ARIMA Models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends

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