ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

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 testi...

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Veröffentlicht in:Econometric theory 1998-06, Vol.14 (3), p.326-338
Hauptverfasser: McCabe, B.P.M., Leybourne, S.J.
Format: Artikel
Sprache:eng
Schlagworte:
Autoregressive moving average
Covariance matrices
Econometric models
Economic models
Equation roots
Estimation
Maximum likelihood estimation
Maximum likelihood estimators
Parametric models
Polynomials
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Beschreibung
Zusammenfassung: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.
ISSN:0266-4666
1469-4360
DOI:10.1017/S0266466698143025