A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root

Pentti Saikkonen

Econometric Theory, 1993, vol. 9, issue 03, pages 494-498

Abstract: 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.

Date: 1993

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