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Some Lagrange Multiplier Tests for Seasonal Differencing

โœ Scribed by W. K. Li


Book ID
124299890
Publisher
Oxford University Press
Year
1991
Tongue
English
Weight
821 KB
Volume
78
Category
Article
ISSN
0006-3444

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The classification between stochastic trend stationarity and deterministic broken trend stationarity is important because incorrect inferences can follow if a stationary series with a broken trend is incorrectly classified as integrated. In this paper, we consider joint tests for regular and seasona