The Order of Differencing in ARIMA Models

DOI10.2307/2288724MaRDI QIDQ3219617zbMATH OpenOpenAlexFDO

Authors V. Solo

Publication date 1984

Full work available at URL https://doi.org/10.2307/2288724

zbMATH Keywords

ARIMA modelscritical pointsfunctionals of Brownian motionLagrange multiplier testnonstationaritytesting for order of differencingunit roots

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives
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• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
• On LM-type tests for seasonal unit roots in the presence of a break in trend
• scientific article; zbMATH DE number 7180063 (Why is no real title available?)
• On the inconsistency of the unrestricted estimator of the information matrix near a unit root
• Asymptotically efficient order selection in nonstationary AR processes
• Sequential detector statistics for speculative bubbles
• Unit-roots test for time-series data with a linear time trend

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