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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
Affiliation:
University of Helsinki

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
Copyright
Copyright © Cambridge University Press 1993

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References

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