'Testing for a unit root In the presence of moving average errors'

Alastair R. Hall

92 citations0/0 files storedBiometrika

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Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

Abstract

The first four lines of page 54 should read as follows. ‘Phillips & Perron (1987) observe that the asymptotic distribution of the ordinary least-squares estimators of the autoregressine parameter in model (5) and its associated t statistic are invariant to whether the model is a random walk with or without drift. By similar reasoning our results for T(α¯1- 1) and associated t statistic…’

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1987Time Series Regression with a Unit Root 1987Effects of model specification on tests for unit roots in macroeconomic data

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2004Non-parametric direct multi-step estimation for forecasting economic processes 1990Time Series Regression With a Unit Root and Infinite-Variance Errors 1997An empirical study of seasonal unit roots in forecasting 1996MULTI‐STEP ESTIMATION FOR FORECASTING 1993Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications 1991Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary 1995Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model

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