File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Some lagrange multiplier tests for seasonal differencing

TitleSome lagrange multiplier tests for seasonal differencing
Authors
KeywordsLagrange multiplier test
Regular and seasonal differencing
Unit root test
Wiener process
Issue Date1991
PublisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/
Citation
Biometrika, 1991, v. 78 n. 2, p. 381-384 How to Cite?
AbstractDetermining whether a time series has a unit root is an important problem in many time series analyses. For seasonal time series the problem is more complicated as one has to decide whether both regular and seasonal differencing or just one of them would suffice to transform a series into stationarity. This important problem is addressed via the Lagrange multiplier test approach. The large sample representations of the test statistics in terms of integrals of Wiener processes are obtained. These facilitate the tabulation of the large sample distribution of the statistics. Some empirical results are reported. © 1991 Biometrika Trust.
Persistent Identifierhttp://hdl.handle.net/10722/137099
ISSN
2015 Impact Factor: 1.13
2015 SCImago Journal Rankings: 2.801

 

DC FieldValueLanguage
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2011-08-16T02:00:27Z-
dc.date.available2011-08-16T02:00:27Z-
dc.date.issued1991en_HK
dc.identifier.citationBiometrika, 1991, v. 78 n. 2, p. 381-384en_HK
dc.identifier.issn0006-3444en_HK
dc.identifier.urihttp://hdl.handle.net/10722/137099-
dc.description.abstractDetermining whether a time series has a unit root is an important problem in many time series analyses. For seasonal time series the problem is more complicated as one has to decide whether both regular and seasonal differencing or just one of them would suffice to transform a series into stationarity. This important problem is addressed via the Lagrange multiplier test approach. The large sample representations of the test statistics in terms of integrals of Wiener processes are obtained. These facilitate the tabulation of the large sample distribution of the statistics. Some empirical results are reported. © 1991 Biometrika Trust.en_HK
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/en_HK
dc.relation.ispartofBiometrikaen_HK
dc.subjectLagrange multiplier testen_HK
dc.subjectRegular and seasonal differencingen_HK
dc.subjectUnit root testen_HK
dc.subjectWiener processen_HK
dc.titleSome lagrange multiplier tests for seasonal differencingen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0006-3444&volume=78&issue=2&spage=381&epage=387&date=1991&atitle=Some+lagrange+multiplier+tests+for+seasonal+differencing-
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/biomet/78.2.381en_HK
dc.identifier.scopuseid_2-s2.0-0010810432en_HK
dc.identifier.volume78en_HK
dc.identifier.issue2en_HK
dc.identifier.spage381en_HK
dc.identifier.epage384en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats