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ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS |
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| Authors: | Greta M. Ljung |
| Affiliation: | Massachusetts Institute of Technology |
| Abstract: | 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. |
| Keywords: | Autoregressive moving-average model information matrix Lagrange multiplier test model checking residual autocorrelations |