Umeå Economic Studies,
Umeå University, Department of Economics

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.

Keywords: Moving average process; Asymmetry; Nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo.

JEL-codes: C15; C22; C52

15 pages, August 30, 1997

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Published as

Kurt Brännäs, Jan G. de Gooijer and Timo Teräsvirta, (1998), 'Testing Linearity against Nonlinear Moving Average Models', Communications in Statistics, Theory and Methods, vol 27, no 8, pages 2025-2035

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