Journal of Applied Econometrics, Vol. 14, No. 5 (Sep. - Oct., 1999), pp. 539-562 (24 pages) In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive ...
This is a preview. Log in through your library . Abstract In this paper the application of the score principle to test for unit roots in seasonal processes is analysed. In particular, tests based on ...
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