SOME SIMPLE TESTS OF THE MOVING‐AVERAGE UNIT ROOT HYPOTHESIS

Jörg Breitung ()

Journal of Time Series Analysis, 1994, vol. 15, issue 4, 351-370

Abstract: Abstract. This paper deals with three test statistics for a moving‐average (MA) unit root. The spectral test is based on the estimate of the spectral density at frequency zero. The variance difference statistic compares the sample variance of the integrated series with the estimated variance imposing the MA unit root constraint. Furthermore, Tanaka's score type test statistic is modified to improve the power in higher order models. The asymptotic power of the tests is considered and Monte Carlo experiments are performed to investigate the small sample properties of the tests. Finally, the tests are applied to a number of economic time series to determine the degree of integration.

Date: 1994
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https://doi.org/10.1111/j.1467-9892.1994.tb00199.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:15:y:1994:i:4:p:351-370

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