ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS

Greta M. Ljung

Journal of Time Series Analysis, 1988, vol. 9, issue 4, 355-359

Abstract: Abstract. This paper examines the score or Lagrange multiplier statistic for testing the adequacy of a fitted autoregressive moving‐average model and gives a simple closed‐form expression for this test statistic. Some singularities arising as the order of the alternative model is increased are examined.

Date: 1988
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1988.tb00476.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:4:p:355-359

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().