Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

DOI10.2307/2291151zbMath0820.62074OpenAlexW1534100182MaRDI QIDQ4836989

Publication date: 21 June 1995

Full work available at URL: http://hdl.handle.net/1866/2114

sample size simulations autoregressive moving average model Akaike's information criterion information criteria unit root test order selection sequential testing truncation lag adaptive rules data-dependent rules Dickey-Fuller \(t\) test general to specific Said-Dickey test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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