Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends

Dong Wan Shin, Jong Hyup Lee

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

For autoregressive moving averages with time trends and autoregressive unit roots, the consistency of the maximum likelihood estimators is established. General uniform approximations are established for the quadratic forms which appear in the Gaussian likelihood.

Original languageEnglish
Pages (from-to)55-68
Number of pages14
JournalJournal of Statistical Planning and Inference
Volume87
Issue number1
DOIs
StatePublished - 15 May 2000

Keywords

  • 62F12
  • Autoregressive moving average
  • Lagrangian multiplier test
  • Likelihood ratio test
  • Primary 62M10
  • Stationary null hypothesis
  • Unit root test

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