, Jan G. de Gooijer
and Timo Teräsvirta
Kurt Brännäs: Department of Economics, Postal: Umea University, Sweden
Jan G. de Gooijer: Department of Economic Statistics, Postal: University of Amsterdam, The Netherlands
Timo Teräsvirta: Department of Economic Statistics, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden.
Abstract: Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.
9 pages, January 1996
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