Tests for Seasonal Moving Average Unit Root in ARIMA Models

DOI10.2307/2965721zbMATH Open0889.62077OpenAlexW4239441098MaRDI QIDQ4366254FDOQ4366254

Authors: W. K. Tam, Gregory C. Reinsel 

Publication date: 18 June 1998

Full work available at URL: https://doi.org/10.2307/2965721

Recommendations

• Seasonal Moving‐average Unit Root Tests in the Presence of a Linear Trend
• Testing for a Unit Root in ARIMA Processes
• Testing for Unit Roots in Seasonal Time Series
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• Unit root tests for seasonal models with deterministic trends
• Seasonal unit root tests with seasonal mean shifts

zbMATH Keywords

unit rootnoninvertible moving averagelocally best invariant unbiased testseasonal ARIMA modelpoint-optimal test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cited In (7)

• Asymptotic laws of successive least squares estimates for seasonal arima models and application
• Deterministic versus stochastic seasonal fractional integration and structural breaks
• SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
• A proposed methodology for the statistical hypotheses testing of the linear and non-linear restrictions in the multiplicative seasonal moving average models
• Title not available (Why is that?)
• Testing for unit roots in autoregressive-moving average models of unknown order
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density

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