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Implementing unit roost tests in ARMA models of unknow order

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  • 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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    1. 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.
    2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    4. 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.
    5. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-459, October.
    6. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-783, August.
    7. 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.
    8. 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.
    9. 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.
    10. Dong Wan Shin & Wayne Fuller, 1998. "Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(5), pages 591-599, September.
    11. Heon Jin Park & Wayne A. Fuller, 1995. "Alternative Estimators And Unit Root Tests For The Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 415-429, July.
    12. Sook Fwe Yap & Gregory C. Reinsel, 1995. "Results On Estimation And Testing For A Unit Root In The Nonstationary Autoregressive Moving‐Average Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 339-353, May.
    13. Perron, Pierre & Ng, Serena, 1998. "An Autoregressive Spectral Density Estimator At Frequency Zero For Nonstationarity Tests," Econometric Theory, Cambridge University Press, vol. 14(5), pages 560-603, October.
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