RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL

DOI10.1111/j.1467-9892.1995.tb00238.xzbMath0819.62073OpenAlexW2048841703MaRDI QIDQ4837794

Gregory C. Reinsel, Sook Fwe Yap

Publication date: 3 July 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00238.x

zbMATH Keywords

tablessimulationlikelihood ratio testlimiting distributionreviewARMA modelGaussian estimationerror-correction modelfinite sample propertiesunit root test proceduresunivariate autoregressive moving-average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (7)

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 ⋮ Semiparametric unit root tests based on symmetric estimators ⋮ Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors ⋮ 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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• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Factorization of the Covariance Generating Function of a Pure Moving Average Process

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