67
Views
58
CrossRef citations to date
0
Altmetric
Theory and Method

The Order of Differencing in ARIMA Models

Pages 916-921 | Received 01 Feb 1983, Published online: 12 Mar 2012

References

  • Billingsley , P. 1968 . Convergence of Probability Measures , New York : John Wiley .
  • Box , G. E.P. and Jenkins , G. M. 1976 . Time Series Analysis Forecasting and Control, , 2nd ed. , San Francisco : Holden-Day .
  • Breusch , T. and Pagan , A. R. 1980 . “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics,” . Review of Economic Studies , 17 : 239 – 253 .
  • Dickey , D. A. and Fuller , W. A. 1979 . “Distribution of the Estimators for Autoregressive Time Series With a Unit Root,” . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Fuller , W. A. 1976 . Introduction to Statistical Time Series Analysis , New York : John Wiley .
  • Godfrey , L. G. 1979 . “Testing the Adequacy of a Time Series Model,” . Biometrika , 66 : 67 – 72 .
  • Hannan , E. J. 1970 . Multiple Time Series , Sydney : John Wiley .
  • Hannan , E. J. 1973 . “The Asymptotic Theory of Linear Time Series Models,” . Journal of Applied Probability , 10 : 130 – 145 .
  • Hosking , J. R.M. 1980 . “Lagrange Multiplier Tests of Time Series,” . Journal of the Royal Statistical Society , 42 : 170 – 181 . Ser. B
  • Rao , C. R. 1973 . Linear Statistical Inference and Its Applications, , 2nd ed. , New York : John Wiley .
  • Renyi , A. 1970 . Probability Theory , Amsterdam : North-Holland .
  • Said , E. and Dickey , D. A. 1983 . “Hypothesis Testing and the Distribution of Parameter Estimates in ARIMA (p, 1, q) Models,” , North Carolina State University, Dept. of Statistics . unpublished manuscript
  • Silvey , S. D. 1959 . “The Lagrangian Multiplier Test,” . Annals of Mathematical Statistics , 30 : 389 – 407 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.