Tests for Seasonal Moving Average Unit Root in ARIMA Models

DOI10.2307/2965721zbMATH Open0889.62077OpenAlexW4239441098MaRDI QIDQ4366254FDOQ4366254

Gregory C. Reinsel, W. K. Tam

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)

Cited In (5)

• 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
• Title not available (Why is that?)
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density

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