ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

Brendan P. M. McCabe · Stephen J. Leybourne

13 citations0/0 files storedEconometric Theory

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Time Series Analysis and Forecasting Diverse Scientific and Economic Studies

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 13 citations exist upstream.

References

1994A Consistent Test for a Unit Root 1990Testing for a Moving Average Unit Root 1999Modified Stationarity Tests With Data-Dependent Model-Selection Rules 1993Testing for Noninvertible Models with Applications

Cited by

1995Simulation Based Inference in Moving Average Models 2016TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.