Implementing unit roost tests in ARMA models of unknown order

DOI10.1007/BF02777226zbMath1050.62097OpenAlexW2049059408MaRDI QIDQ1880288

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

tablesfinite sample performance

Mathematics Subject Classification ID

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

Cites Work

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