Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (Q4836989)
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scientific article; zbMATH DE number 766673
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| English | Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag |
scientific article; zbMATH DE number 766673 |
Statements
21 June 1995
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Dickey-Fuller \(t\) test
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general to specific
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order selection
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adaptive rules
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truncation lag
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Said-Dickey test
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autoregressive moving average model
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sample size
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data-dependent rules
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Akaike's information criterion
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information criteria
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sequential testing
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unit root test
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simulations
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Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (English)
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0.8559743165969849
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0.8463227152824402
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0.8409430980682373
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0.8181249499320984
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0.8161103129386902
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