A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
Saikkonen, Pentti; Saikkonen Pentti; University of Helsinki
Журнал:
Econometric Theory
Дата:
1993
Аннотация:
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.
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