A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
指出，在一阶混合自回归移动平均模型中，用于检验自回归单位根假设的拉格朗日乘子检验可能对平稳备择假设不一致。
It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier test for the autoregressive unit-root hypothesis can be inconsistent against stationary alternatives.