Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average

DOI10.1111/1467-9892.00110zbMath0911.62086OpenAlexW1989064050MaRDI QIDQ4221438

Dong Wan Shin, Wayne A. Fuller

Publication date: 3 May 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00110

zbMATH Keywords

likelihood ratio statisticsunconditional maximum likelihood estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (12)

Marginal likelihood and unit roots ⋮ Implementing unit roost tests in ARMA models of unknown order ⋮ Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data ⋮ BIC-based unit-root detection: simulation-based evidence ⋮ Multivariate singular spectrum analysis for forecasting revisions to real-time data ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum ⋮ Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes ⋮ Developments in Maximum Likelihood Unit Root Tests ⋮ Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models ⋮ Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends ⋮ Efficient tests for unit roots with prediction errors

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