ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

B-Tier
Journal: Econometric Theory
Year: 1998
Volume: 14
Issue: 3
Pages: 326-338

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:14:y:1998:i:03:p:326-338_14
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25