Implementing unit roost tests in ARMA models of unknown order

DOI10.1007/BF02777226MaRDI QIDQ1880288zbMATH OpenOpenAlexFDO

Authors Ismael Sánchez

Publication date 22 September 2004

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02777226

zbMATH Keywords

finite sample performancetables

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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Cites work

• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Alternative methods of detrending and the power of unit root tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• Recursive estimation of mixed autoregressive-moving average order
• RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Time Series Regression with a Unit Root
• Unit root test: An unconditional maximum likelihood approach
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average

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