The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model

DOI10.1007/BF01897808zbMath0606.62101MaRDI QIDQ1084822

Benedikt M. Pötscher

Publication date: 1985

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/175998

zbMATH Keywords

consistencyasymptotic resultsARMALagrange multiplier testorder estimationARMAX

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

Comment on `Adaptive estimation in time series regression models' by D. G. Steigerwald ⋮ ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES ⋮ Model selection by multiple test procedures ⋮ Time series analysis via rank order theory: Signed-rank tests for ARMA models ⋮ Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors ⋮ The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process ⋮ Multivariate signed-rank tests in vector autoregressive order identification ⋮ A robust test for network generated dependence

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