Testing for unit roots in autoregressive moving average models. An instrumental variable approach (Q1176602)
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scientific article; zbMATH DE number 12244
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| English | Testing for unit roots in autoregressive moving average models. An instrumental variable approach |
scientific article; zbMATH DE number 12244 |
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Testing for unit roots in autoregressive moving average models. An instrumental variable approach (English)
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25 June 1992
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ARIMA(p,1,q)
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ARIMA(p+1,0,q)
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unit root tests
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instrumental variable estimator
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limiting distributions
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shift in mean
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linear time trend
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Monte Carlo study
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0.8777940273284912
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0.8658372163772583
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0.8479484915733337
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