| Authors |
|
| Publication date |
1998
|
| Journal |
Communications in Statistics: Theory and Methods
|
| Volume | Issue number |
27
|
| Pages (from-to) |
2025-2035
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.
|
| Document type |
Article
|
| Published at |
https://doi.org/10.1080/03610929808832207
|
|
Permalink to this page
|