A FREQUENCY DOMAIN APPROACH TO LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING AVERAGE MODELS

Pham Dinh Tuan

Journal of Time Series Analysis, 1986, vol. 7, issue 1, 73-78

Abstract: Abstract. The paper derives a goodness of fit test for autoregressive moving average models using the frequency domain approximation to the log likelihood and the Lagrange multiplier approach. The test statistic is based on the sample autocovariances and can be quickly computed through a recursive procedure.

Date: 1986
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https://doi.org/10.1111/j.1467-9892.1986.tb00486.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:7:y:1986:i:1:p:73-78

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