Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
From MaRDI portal
Publication:1567511
DOI10.1016/S0378-3758(99)00175-5zbMath0976.62090OpenAlexW2091921611MaRDI QIDQ1567511
Publication date: 8 January 2002
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-3758(99)00175-5
likelihood ratio testunit root testnonstationary time seriesLagrangian multiplier testautoregressive moving averagesstationary null hypothesis
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items
A sequential procedure for testing the existence of a random walk model in finite samples, On partial-sum processes of ARMAX residuals, Efficient tests for unit roots with prediction errors
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Unit-roots test for time-series data with a linear time trend
- Time series: theory and methods
- Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
- Asymptotic properties of projections with applications to stochastic regression problems
- Testing for unit roots in autoregressive moving average models. An instrumental variable approach
- A log log law for unstable ARMA models with applications to time series analysis
- Asymptotics for linear processes
- On ARX(\(\infty)\) approximation
- Semiparametric unit root tests based on symmetric estimators
- Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Testing for unit roots in autoregressive-moving average models of unknown order
- Hypothesis Testing in ARIMA(p, 1, q) Models
- Testing for a unit root in time series regression
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
- Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
- Time Series Regression with a Unit Root
- RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
- The asymptotic theory of linear time-series models
- Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
