Hypothesis Testing in ARIMA(p, 1, q) Models

DOI10.2307/2287899zbMath0573.62084OpenAlexW4253528868MaRDI QIDQ3690918

Saïd E. Saïd, David A. Dickey

Publication date: 1985

Full work available at URL: https://doi.org/10.2307/2287899

zbMATH Keywords

time seriesnonstationarityunit rootscharacteristic equationsdifferencingARIMA(p,1,q) processnonlinear least squares regression estimatorst-type statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

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