The Review of Economics and Statistics Vol. 69 No. 4 1987
A Test of the First Difference Transformation in Time Series Models
Abstract
We extend our 1985 test of restrictions on Layson and Seaks' (1984) Box-Cox difference transformation to models with autoregressive terms and moving average errors. The tests are based on the Lagrange Multiplier principle. Several empirical examples are given.
- DOI
- 10.2307/1935970
- Volume
- 69
- Issue
- 4
- Pages
- 723
- Sources
- openalex crossref