On Estimating An Arma Model With An Ma Unit Root
AbstractThis paper investigates the behavior of the maximum likelihood estimator of a Gaussian autoregressive moving average model with a unit root in the moving average polynomial. The results are primarily of interest in testing hypotheses that involve moving average unit roots as, for example, when testing for stationarity of a series.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 14 (1998)
Issue (Month): 03 (June)
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- Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June.
- Kurozumi, Eiji, 2009.
"Construction of Stationarity Tests with Less Size Distortions,"
Hitotsubashi Journal of Economics,
Hitotsubashi University, vol. 50(1), pages 87-105, June.
- Kurozumi, Eiji, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
- Yongcheol Shin & Andy Snell, 2004.
"Mean Group Tests for Stationarity in Heterogenous Panels,"
ESE Discussion Papers
107, Edinburgh School of Economics, University of Edinburgh.
- Yongcheol Shin & Andy Snell, 2006. "Mean group tests for stationarity in heterogeneous panels," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 123-158, 03.
- James Morley & Irina Panovska & Tara M. Sinclair, 2008. "A Likelihood Ratio Test of Stationarity Based on a Correlated Unobserved Components Model," Working Papers 2008-011, The George Washington University, Department of Economics, Research Program on Forecasting, revised Sep 2011.
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