SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS (Q4319837)
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scientific article; zbMATH DE number 711377
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS |
scientific article; zbMATH DE number 711377 |
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SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS (English)
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1 March 1995
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moving-average unit root
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ARMA model
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stationarity
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spectral test
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spectral density
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variance difference statistic
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sample variance
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MA unit root constraint
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Tanaka's score type test statistic
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power
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higher order models
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asymptotic power
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Monte Carlo
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small sample properties
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degree of integration
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