ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

B.P.M. McCabe and S.J. Leybourne

Econometric Theory, 1998, vol. 14, issue 03, pages 326-338

Abstract: 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.

Date: 1998
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466698143025 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:03:p:326-338_14

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().