Unformatted text preview: Derive a Lagrange Multiplier (LM) test for the null hypothesis that a model is ARMA(1,1) against the alternative that it is ARMA(1,3). How would you carry out a modified LM test based on the F distribution? 3. Given the accompanying graphs of the autocorrelations and partial autocorrelations of the original data for some time series, identify a potential model for each....
View Full Document
This note was uploaded on 12/26/2011 for the course ECON 245b taught by Professor Staff during the Fall '08 term at UCSB.
- Fall '08