Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models

DOI10.1080/03610910008813613zbMath0968.62539MaRDI QIDQ4490158

Tarmo M. Pukkila, Sergio G. Koreisha

Publication date: 10 July 2000

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910008813613

zbMATH Keywords

identification; time series; unit roots; ARIMA models; differencing; residual white noise autoregressive criterion

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Cites Work

• Unnamed Item
• Unnamed Item
• New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models
• The estimation of the order of an ARMA process
• Deciding between I(1) and I(0)
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS
• A method for autoregressive-moving average estimation
• Testing for unit roots in autoregressive-moving average models of unknown order
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Modeling Multiple Times Series with Applications
• Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process
• On a measure of lack of fit in time series models
• Time Series Regression with a Unit Root
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models