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

B-Tier
Journal: Econometric Theory
Year: 1993
Volume: 9
Issue: 3
Pages: 494-498

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:9:y:1993:i:03:p:494-498_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29