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A note on testing for a unit root in an ARIMA(p,1,0) signal observed with MA(q) noise

Author

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  • Shin, Dongwan
  • Sarkar, Sahadeb

Abstract

An ARIMA(p,1,0) signal contaminated by MA(q) noise is a restricted ARIMA(p,1,p + q + 1) process. For this model restricted by nonlinear constraints, it is shown that the maximum likelihood estimator of the unit root is strongly consistent and its limiting distribution is the same as that of the least squares estimator of the unit root in an AR(1) process tabulated by Dickey and Fuller.

Suggested Citation

  • Shin, Dongwan & Sarkar, Sahadeb, 1993. "A note on testing for a unit root in an ARIMA(p,1,0) signal observed with MA(q) noise," Statistics & Probability Letters, Elsevier, vol. 18(3), pages 195-203, October.
    • Handle: RePEc:eee:stapro:v:18:y:1993:i:3:p:195-203
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