The finite sample distributions of estimators and test statistics in ARMA time series models are generally unknown. For typical sample sizes, the approximations provided by asymptotic distributions are often unsatisfactory. Hence simulation or numerical integration methods are used to...

The distributions of the test statistics are investigated in the context of an AR(1) model where the root is unity or near unity and where the exogenous process is a stable process, a random walk or a time trend. The finite sample distributions are estimated by Monte Carlo methods assuming...