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

Published online by Cambridge University Press:  11 February 2009

Pentti Saikkonen
Pentti Saikkonen
Affiliation:
University of Helsinki
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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.

Type
Miscellanea
Information
Econometric Theory , Volume 9 , Issue 3 , June 1993 , pp. 494 - 498
Copyright
Copyright © Cambridge University Press 1993

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