RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL

DOI10.1111/j.1467-9892.1995.tb00238.xzbMath0819.62073MaRDI QIDQ4837794

Gregory C. Reinsel, Sook Fwe Yap

Publication date: 3 July 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00238.x

zbMATH Keywords

tables; simulation; likelihood ratio test; limiting distribution; review; ARMA model; Gaussian estimation; error-correction model; finite sample properties; unit root test procedures; univariate autoregressive moving-average model

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62F05: Asymptotic properties of parametric tests

Related Items

BIC-based unit-root detection: simulation-based evidence, Semiparametric unit root tests based on symmetric estimators, Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends, Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors, Efficient tests for unit roots with prediction errors, Implementing unit roost tests in ARMA models of unknown order, Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotic inference for nearly nonstationary AR(1) processes
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Order of Differencing in ARIMA Models
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Testing for a unit root in the presence of moving average errors
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Factorization of the Covariance Generating Function of a Pure Moving Average Process