Some Lagrange multiplier tests for seasonal differencing

DOI10.1093/BIOMET/78.2.381zbMath0735.62090OpenAlexW1997408493MaRDI QIDQ3981116

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Publication date: 26 June 1992

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/78.2.381

zbMATH Keywords

unit root testLagrange multiplier testseasonal time seriesintegrals of Wiener processeslarge sample representationsregular differencingseasonal differencing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (5)

F-test for seasonal differencing with a break-point ⋮ Parameter inference for time series with regular and seasonal unit roots ⋮ On time series with randomized unit root and randomized seasonal unit root ⋮ A new color image cryptosystem via hyperchaos synchronization ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend

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