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Journal of the American Statistical Association Volume 79, 1984 - Issue 388
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Theory and Method

The Order of Differencing in ARIMA Models

Victor Solo Department of Statistics, Harvard University, Cambridge, MA, 02138, USA
Pages 916-921 | Received 01 Feb 1983, Published online: 12 Mar 2012
 
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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.

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