A Modified ADF Test for Geometric ARMA Processes

Fathali Firoozi and Donald Lien
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Fathali Firoozi: Department of Economics, University of Texas at San Antonio, U.S.A.
Donald Lien: Department of Economics, University of Texas at San Antonio, U.S.A.

International Journal of Business and Economics, 2016, vol. 15, issue 2, 173-179

Abstract: This study first shows that geometric processes arise naturally and then proposes a modification to the standard augmented Dickey-Fuller (ADF) equation for testing unit root non-stationarity in geometric ARMA (r,q) processes with q?1 . The proposed test equation removes the order truncation bias that is inherent in the standard ADF test equation for such processes.

Keywords: autoregressive moving average processes; order approximation; infinite order (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2016
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