A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise (Q1314708)
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scientific article; zbMATH DE number 503669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise |
scientific article; zbMATH DE number 503669 |
Statements
A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise (English)
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27 March 1994
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ARIMA\((p,1,0)\) signal contaminated by MA\((q)\) noise
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restricted ARIMA\((p,1,p+q+1)\) process
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strong consistency
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time series
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measurement error
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nonstationarity
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large sample properties
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nonlinear constraints
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maximum likelihood estimator of the unit root
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limiting distribution
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least squares estimator
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AR(1) process
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