Developments in maximum likelihood unit root tests

DOI10.1080/03610918.2012.655828MaRDI QIDQ4921617zbMATH OpenOpenAlexFDO

Authors Y. Zhang, Hao Yu, A. Ian McLeod

Publication date 13 May 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.00819

zbMATH Keywords

symbolic computationexact maximum likelihood estimatorresponse surface regressionrobust unit root test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Abstract: The exact maximum likelihood estimate (MLE) provides a test statistic for the unit root test that is more powerful citep[p. 577]{Fuller96} than the usual least squares approach. In this paper a new derivation is given for the asymptotic distribution of this test statistic that is simpler and more direct than the previous method. The response surface regression method is used to obtain a fast algorithm that computes accurate finite-sample critical values. This algorithm is available in the R package { t mleur} that is available on CRAN. The empirical power of the new test is shown to be much better than the usual test not only in the normal case but also for innovations generated from an infinite variance stable distribution as well as for innovations generated from a GARCH$(1,1)$ process.

Recommendations

• Unit root test: An unconditional maximum likelihood approach
• Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
• The unit root test of ESTAR-GARCH model
• scientific article; zbMATH DE number 1222305

Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• A Monte Carlo study of autoregressive integrated moving average processes
• A note on maximum likelihood estimation for the first-order autoregressive process
• Analysis of integrated and cointegrated time series with R.
• Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
• Faster ARMA maximum likelihood estimation
• ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES
• Symbolic computation for statistical inference
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Cited in

(5)

• Marginal likelihood and unit roots
• mleur
• Response surface estimates of the LM unit root tests
• An inverted beta approximation to a MPI unit root test
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues

Describes a project that uses

Uses Software

• urca
• CRAN
• R
• Mathematica

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