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 -