A note on testing for a unit root in an ARIMA(p,1,0) signal observed with MA(q) noise

Dongwan Shin, Sahadeb Sarkar

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)195-203
Number of pages9
JournalStatistics and Probability Letters
Volume18
Issue number3
DOIs
StatePublished - 15 Oct 1993

Keywords

  • large sample properties
  • maximum likelihood estimation
  • Measurement error
  • nonstationarity
  • unit root

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