Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

DOI10.2307/2290341zbMATH Open0775.62240OpenAlexW4256352689MaRDI QIDQ5288916FDOQ5288916

Publication date: 2 September 1993

Full work available at URL: https://doi.org/10.2307/2290341

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

Cited In (25)

The fragility of the KPSS stationarity test
SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
ARMA AND ARIMA APPROACHES TO THE UNIT ROOT ANALYSIS OF MACRO ECONOMIC VARIABLES
Title not available (Why is that?)
TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
A residual-based test of the null of cointegration in panel data
Semiparametrically point-optimal hybrid rank tests for unit roots
Tests for the order of integration against higher order integration
A likelihood ratio type test for invertibility in moving average processes
Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
Testing for \(r\) versus \(r-1\) cointegrating vectors
Some results on testing for stationarity using data detrended in differences
Testing for stationarity in series with a shift in the mean. A Fredholm approach
Testing the null of stationarity for multiple time series
Deciding between I(1) and I(0)
Optimal tests against the alternative hypothesis of panel unit roots
A sieve bootstrap test for stationarity.
A comparison of two modified stationarity tests. A Monte Carlo study
Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)
Stationarity against integration in the autoregressive process with polynomial trend
Reducing the size distortion of the KPSS test
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
Asymptotic behavior of cross spectral density estimator at the zero frequency in the presence of degeneracy

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