ARMA AND ARIMA APPROACHES TO THE UNIT ROOT ANALYSIS OF MACRO ECONOMIC VARIABLES

DOI10.14490/jjss1995.27.1zbMath0904.62136OpenAlexW2032848722MaRDI QIDQ4354737

Kenji Miyazaki, Kimio Morimune

Publication date: 26 January 1999

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss1995.27.1

zbMATH Keywords

time seriesARIMAARMAunit root test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Estimation of a non-invertible moving average process: the case of overdifferencing
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Testing for a unit root in time series regression
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

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