The Order of Differencing in ARIMA Models

1 December 1984

journal article
research article
Published by JSTOR in Journal of the American Statistical Association

Vol. 79 (388) , 916
https://doi.org/10.2307/2288724

Abstract

A Lagrange multiplier test is derived for testing for the order of differencing in an autoregressive integrated moving average (ARIMA) model. The procedure is illustrated with an example.

Keywords

UNIT ROOTS
NONSTATIONARITY
LAGRANGE MULTIPLIER