Metrika

, Volume 32, Issue 1, pp 129–150 | Cite as

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

  • B. M. Pötscher
Publication

Summary

The Lagrange multiplier test for testing the order of an ARMA-model is investigated. It is shown that it exhibits some pathologies stemming from the special properties of parameter spaces of ARMA-models. As a consequence one has to be careful in using the LM-test in this context. Furthermore results of this paper are used in a subsequent paper [Pötscher, 1983], to show the consistency of an order estimation procedure based on Lagrange multiplier tests, described there.

Keywords

Parameter Space Stochastic Process Probability Theory Economic Theory Lagrange Multiplier 

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Copyright information

© Physica-Verlag Ges.m.b.H. 1985

Authors and Affiliations

  • B. M. Pötscher
    • 1
  1. 1.Inst. of Econometrics and Operations ResearchUniversity of TechnologyVienna

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