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Implementing unit roost tests in ARMA models of unknow order


  • Ismael Sánchez



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  • Ismael Sánchez, 2004. "Implementing unit roost tests in ARMA models of unknow order," Statistical Papers, Springer, vol. 45(2), pages 249-266, April.
  • Handle: RePEc:spr:stpapr:v:45:y:2004:i:2:p:249-266 DOI: 10.1007/BF02777226

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    References listed on IDEAS

    1. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    2. Galbraith, JohnW. & Zinde-Walsh, Victoria, 1999. "On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components," Journal of Econometrics, Elsevier, vol. 93(1), pages 25-47, November.
    3. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    5. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    6. Hwang, Jaeyoun & Schmidt, Peter, 1996. "Alternative methods of detrending and the power of unit root tests," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 227-248.
    7. Dolado, Juan J. & Hidalgo-Moreno, Javier, 1990. "The Asymptotic Distribution of the Iterated Gauss-Newton Estimators of an ARIMA Process," Econometric Theory, Cambridge University Press, vol. 6(04), pages 490-494, December.
    8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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