Brännäs, Kurt; Gooijer, Jan G. de; Teräsvirta, Timo - Institutionen för Nationalekonomi, Umeå Universitet - 1997
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...
