In a recent paper Gonzalez Manteiga and Vilar Fernandez (1995) considered the problem of testing linearity of a regression under MA structure of the errors using a weighted L1-distance between a parametric and a nonparametric fit. They established asymptotic normality of the corresponding test...

In this paper I propose a Likelihood Ratio test for a unit root (LR) with a local-to-unity Autoregressive parameter embedded in ARMA(1,1) models. By dealing explicitly with dependence in a time series through the Moving Average, as opposed to the long Autorregresive lag approximation, the test...