Testing for unit roots in autoregressive moving average models. An instrumental variable approach

DOI10.1016/0304-4076(91)90067-NzbMath0803.62099MaRDI QIDQ1176602

Sastry G. Pantula, Alastair R. Hall

Publication date: 25 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo studylimiting distributionsunit root testsinstrumental variable estimatorARIMA(p,1,q)ARIMA(p+1,0,q)linear time trendshift in mean

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (19)

Estimation of error correction model with measurement errors ⋮ RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL ⋮ Semiparametric unit root tests based on symmetric estimators ⋮ Unit root tests for time series with outliers ⋮ Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise ⋮ Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations ⋮ SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS ⋮ RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS ⋮ TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA ⋮ Instrumental variable based unit root tests when both ARMA (p,q) orders are chosen to be too large ⋮ Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection ⋮ A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment ⋮ Asymptotic normality of the instrumental variable estimates for ARIMA(\(p,m,q\)) processes ⋮ Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors ⋮ Unit root test for short panels with serially correlated errors ⋮ Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends ⋮ Testing for a unit root in autoregressive processes with systematic but incomplete sampling ⋮ A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise ⋮ Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Testing for a unit root in time series regression
• Testing for a unit root in the presence of moving average errors
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• On a procedure for testing the order of time series
• Time Series Regression with a Unit Root
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