ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

Brendan McCabe and Stephen Leybourne ()

Econometric Theory, 1998, vol. 14, issue 3, 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
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