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On The Lagrange Multiplier Test For Autoregressive Moving‐Average Models

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  • Greta M. Ljung

Abstract

. This paper examines the score or Lagrange multiplier statistic for testing the adequacy of a fitted autoregressive moving‐average model and gives a simple closed‐form expression for this test statistic. Some singularities arising as the order of the alternative model is increased are examined.

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  • Greta M. Ljung, 1988. "On The Lagrange Multiplier Test For Autoregressive Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(4), pages 355-359, July.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:4:p:355-359
    DOI: 10.1111/j.1467-9892.1988.tb00476.x
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