Tests for Seasonal Moving Average Unit Root in ARIMA Models

DOI10.2307/2965721MaRDI QIDQ4366254zbMATHOpenAlexFDO

Authors W. K. Tam, Gregory C. Reinsel

Publication date 18 June 1998

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

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)

Recommendations

• Seasonal Moving‐average Unit Root Tests in the Presence of a Linear Trend
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Cited in

(7)

• A proposed methodology for the statistical hypotheses testing of the linear and non-linear restrictions in the multiplicative seasonal moving average models
• Deterministic versus stochastic seasonal fractional integration and structural breaks
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• Testing for unit roots in autoregressive-moving average models of unknown order
• scientific article; zbMATH DE number 5994862 (Why is no real title available?)
• SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
• Asymptotic laws of successive least squares estimates for seasonal arima models and application

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