Unit roots in moving averages beyond first order
From MaRDI portal
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.
Recommendations
- Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
- scientific article; zbMATH DE number 897212
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
- UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1249686 (Why is no real title available?)
- scientific article; zbMATH DE number 897212 (Why is no real title available?)
- scientific article; zbMATH DE number 6193726 (Why is no real title available?)
- scientific article; zbMATH DE number 957960 (Why is no real title available?)
- Functional convergence of stochastic integrals with application to statistical inference
- Gaussian and non-Gaussian linear time series and random fields
- Inference for regression models with errors from a non-invertible MA(1) process
- Least absolute deviation estimation for all-pass time series models
- Least absolute deviation estimation for regression with ARMA errors
- Limiting distributions of least squares estimates of unstable autoregressive processes
- M-estimation for autoregression with infinite variance
- Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
- Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Maximum likelihood estimation for all-pass time series models
- Time series: theory and methods.
- WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
Cited in
(5)- 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
- Extensions of saddlepoint-based bootstrap inference
- A likelihood ratio type test for invertibility in moving average processes
- Inference for regression models with errors from a non-invertible MA(1) process
This page was built for publication: Unit roots in moving averages beyond first order
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q449984)
