The One-Sided Lagrange Multiplier Test of theAR(p) ModelvstheAR(p) Model with Measurement Error

Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1983 · Volume 45 · Issue 1

DOI: 10.1111/j.2517-6161.1983.tb01233.x

Abstract

The one-sided Lagrange multiplier test is suggested for testing the null autoregressive (AR) model against theARmodel with measurement error. The test statistic is shown to be asymptoticallyN(0, 1) under the null. Finite sample properties of the test both under the null and under the alternative are examined briefly by simulations.

Keywords

lagrange multiplier test, autoregressive model, one-sided test

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