Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
From MaRDI portal
Publication:4299466
DOI10.1093/biomet/80.4.855zbMath0795.62072MaRDI QIDQ4299466
Publication date: 22 August 1994
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/80.4.855
tables; numerical example; Monte Carlo; Brownian bridge; unit root tests; powers; nonstationary time series; finite samples; deterministic trend; ARIMA model; Lagrange multiplier principle; stochastic trends; functionals of stochastic integrals
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
Related Items
UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS, On LM-type tests for seasonal unit roots in the presence of a break in trend, Power of the Lagrange multiplier test for testing an autoregressive unit root, Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends, Testing for the cointegrating rank of a VAR process with a time trend, Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors