Unit roots in moving averages beyond first order

DOI10.1214/11-AOS935zbMATH Open1246.62183arXiv1203.2496OpenAlexW2004012270MaRDI QIDQ449984FDOQ449984

Authors: Li Song, Richard A. Davis 

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The asymptotic theory of various estimators based on Gaussian likelihood has been developed for the unit root and near unit root cases of a first-order moving average model. Previous studies of the MA(1) unit root problem rely on the special autocovariance structure of the MA(1) process, in which case, the eigenvalues and eigenvectors of the covariance matrix of the data vector have known analytical forms. In this paper, we take a different approach to first consider the joint likelihood by including an augmented initial value as a parameter and then recover the exact likelihood by integrating out the initial value. This approach by-passes the difficulty of computing an explicit decomposition of the covariance matrix and can be used to study unit root behavior in moving averages beyond first order. The asymptotics of the generalized likelihood ratio (GLR) statistic for testing unit roots are also studied. The GLR test has operating characteristics that are competitive with the locally best invariant unbiased (LBIU) test of Tanaka for some local alternatives and dominates for all other alternatives.

Full work available at URL: https://arxiv.org/abs/1203.2496

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zbMATH Keywords

unit rootsmoving average

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (5)

• A likelihood ratio type test for invertibility in moving average processes
• Extensions of saddlepoint-based bootstrap inference
• Functional convergence of stochastic integrals with application to statistical inference
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• Inference for regression models with errors from a non-invertible MA(1) process

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