A note on testing for a unit root in an ARIMA(p,1,0) signal observed with MA(q) noise

An ARIMA(p,1,0) signal contaminated by MA(q) noise is a restricted ARIMA(p,1,p + q + 1) process. For this model restricted by nonlinear constraints, it is shown that the maximum likelihood estimator of the unit root is strongly consistent and its limiting distribution is the same as that of the least squares estimator of the unit root in an AR(1) process tabulated by Dickey and Fuller.

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Year of publication:	1993
Authors:	Shin, Dongwan ; Sarkar, Sahadeb
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 18.1993, 3, p. 195-203
Publisher:	Elsevier
Keywords:	Measurement error maximum likelihood estimation large sample properties unit root nonstationarity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254631