Developments in Maximum Likelihood Unit Root Tests

DOI10.1080/03610918.2012.655828zbMath1347.62185arXiv1611.00819OpenAlexW2009266837MaRDI QIDQ4921617

Hao Yu, A. Ian McLeod, Y. Zhang

Publication date: 13 May 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.00819

zbMATH Keywords

symbolic computationexact maximum likelihood estimatorresponse surface regressionrobust unit root test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

mleur

Uses Software

• Mathematica
• R
• CRAN
• urca

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Faster ARMA maximum likelihood estimation
• A Monte Carlo study of autoregressive integrated moving average processes
• Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
• A note on maximum likelihood estimation for the first-order autoregressive process
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
• ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES

This page was built for publication: Developments in Maximum Likelihood Unit Root Tests