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Testing for unit roots in autoregressive-moving average models of unknown order
Abstract
Recently, methods for detecting unit roots in autoregressive and autoregressive-moving average time series have been proposed. The presence of a unit root indicates that the time series is not stationary but that differencing will reduce it to stationarity. The tests proposed to date require specification of the number of autoregressive and moving average coefficients in the model. In this paper we develop a test for unit roots which is based on an approximation of an autoregressive-moving average model by an autoregression. The test statistic is standard output from most regression programs and has a limit distribution whose percentiles have been tabulated. An example is provided.
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Cited by
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Further evidence on breaking trend functions in macroeconomic variables
Perron, P. (1997) · Journal of Econometrics · doi:10.1016/s0304-4076(97)00049-3 · Cited by 2,035
Metadata
- Authors
- SAID, S. E., & DICKEY, D. A.
- Venue
- Biometrika
- Publisher
- Oxford University Press (OUP)
- Published
- 1984
- Volume
- 71
- Issue
- 3
- Pages
- 599-607
- ISSN
- 0006-3444 (ISSN-L)
- 1464-3510
- OpenAlex
- W2117922789
- Cited by
- 3,418
- References
- 0
- FWCI
- 10.45
- Type
- journal article
- Language
- en
- Open access
- closed
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- SAID, S. E., & DICKEY, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika. https://doi.org/10.1093/biomet/71.3.599
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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