The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
type: Item
instance of: scholarly article
title: The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
zbMATH Open document ID: 0606.62101
DOI: 10.1007/BF01897808
published in: Metrika
publication date: 1985-01-01T00:00:00Z
full work available at URL: https://eudml.org/doc/175998
review text: Before estimating parameters in ARMA and ARMAX models it is necessary to determine the true order of the model. This can be done by the Lagrange multiplier test. The author shows that this test can exhibit some ''pathological'' behaviour, which has been overlooked in the literature. Some problems are caused by the fact that a sequence of matrices \(A_ n\) can converge to a matrix A, whereas for their ranks it may hold that \(r(A_ n)\) des not approach r(A). The consistency of an order estimation procedure can be proved using results presented in the paper.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M07
zbMATH DE Number: 3980304
zbMATH Keywords: asymptotic results
zbMATH Keywords: ARMA
zbMATH Keywords: ARMAX
zbMATH Keywords: Lagrange multiplier test
zbMATH Keywords: consistency
zbMATH Keywords: order estimation
author: Benedikt M. Pötscher
reviewed by: Jiří Anděl
MaRDI profile type: Publication
cites work: Q5560061
cites work: The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification
cites work: Vector linear time series models: corrections and extensions
cites work: Some properties of the parameterization of ARMA systems with unknown order
cites work: Vector linear time series models
cites work: The estimation of the order of an ARMA process
cites work: Q5612941
cites work: Q4195812
cites work: Estimation of vector Armax models
cites work: Recursive estimation of mixed autoregressive-moving average order
cites work: Q3928869
cites work: Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
cites work: Q3879169
cites work: Q3931141
cites work: An approach to testing linear time series models
cites work: Testing the specification of a fitted autoregressive-moving average model
cites work: Diagnostic tests for multiple time series models
cites work: Q3347146
cites work: Order estimation in ARMA-models by Lagrangian multiplier tests
cites work: Q5645536
cites work: The Lagrangian Multiplier Test
cites work: On the Continuity of the Generalized Inverse
description: scientific article; zbMATH DE number 3980304