TY - JOUR
T1 - A note on testing for a unit root in an ARIMA(p,1,0) signal observed with MA(q) noise
AU - Shin, Dongwan
AU - Sarkar, Sahadeb
N1 - Funding Information:
The research of the first author was supported by Korea Research Foundation. The research of the second author was partly supported by the Dean’s Incentive Grant from the College of Arts and Sciences at Oklahoma State University. The authors wish to thank Professor Wayne A. Fuller for kindly suggesting the problem and providing the example of Labor Force Survey conducted by Statistics Canada. The authors would also like to thank the referee for several useful suggestions.
PY - 1993/10/15
Y1 - 1993/10/15
N2 - 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.
AB - 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.
KW - large sample properties
KW - maximum likelihood estimation
KW - Measurement error
KW - nonstationarity
KW - unit root
UR - http://www.scopus.com/inward/record.url?scp=38248999918&partnerID=8YFLogxK
U2 - 10.1016/0167-7152(93)90216-6
DO - 10.1016/0167-7152(93)90216-6
M3 - Article
AN - SCOPUS:38248999918
VL - 18
SP - 195
EP - 203
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
SN - 0167-7152
IS - 3
ER -