Estimation for the autoregressive moving average model with a unit root

1990 ◽  
Author(s):  
Dongwan Shin
Keyword(s):  
Unit Root ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Average Model ◽  
Autoregressive Moving Average Model ◽  
Moving Average Model

A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root

1993 ◽  
Vol 9 (3) ◽  
pp. 494-498 ◽  
Author(s):  
Pentti Saikkonen
Keyword(s):  
Lagrange Multiplier ◽  
Unit Root ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Lagrange Multiplier Test ◽  
Average Model ◽  
First Order ◽  
Autoregressive Moving Average Model ◽  
Moving Average Model

It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier test for the autoregressive unit-root hypothesis can be inconsistent against stationary alternatives.

ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

1998 ◽  
Vol 14 (3) ◽  
pp. 326-338 ◽  
Author(s):  
B.P.M. McCabe ◽  
S.J. Leybourne
Keyword(s):  
Unit Root ◽  
Moving Average ◽  
Arma Model ◽  
Unit Roots ◽  
Autoregressive Moving Average ◽  
Likelihood Estimator ◽  
Average Model ◽  
Autoregressive Moving Average Model ◽  
Average Unit ◽  
Moving Average Model

This 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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