A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise

DOI10.1016/0167-7152(93)90216-6zbMath0790.62087OpenAlexW1981944636MaRDI QIDQ1314708

Sahadeb Sarkar, Dong Wan Shin

Publication date: 27 March 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90216-6

zbMATH Keywords

time serieslimiting distributionmeasurement errorleast squares estimatornonstationaritystrong consistencynonlinear constraintslarge sample propertiesAR(1) processARIMA\((p,1,0)\) signal contaminated by MA\((q)\) noisemaximum likelihood estimator of the unit rootrestricted ARIMA\((p,1,p+q+1)\) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise ⋮ TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA ⋮ Maximum likelihood estimation for arma models in the presence of ARMA errors ⋮ Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples

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• Testing for a unit root in time series regression
• Recursive parameter estimation of an autoregressive process disturbed by white noise
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• Sampling

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