A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
Keyword(s):
It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier test for the autoregressive unit-root hypothesis can be inconsistent against stationary alternatives.
1995 ◽
Vol 16
(3)
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pp. 339-353
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2006 ◽
Vol 295
(1-2)
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pp. 428-435
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2017 ◽
Vol 6
(3)
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pp. 67
1996 ◽
Vol 99
(6)
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pp. 3528-3538
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