Testing for unit roots in autoregressive-moving average models of unknown order

DOI10.1093/biomet/71.3.599zbMath0564.62075OpenAlexW2117922789WikidataQ56675646 ScholiaQ56675646MaRDI QIDQ3678522

Publication date: 1984

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/71.3.599

zbMATH Keywords

nonstationary ARMA model mixed model autoregressive approximation testing for unit roots studentized statistic unknown order autoregressive-moving average time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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