[KSCI] Korea Science Citation Index Service

Unit Root Tests for Autoregressive Moving Average Processes Based on M-estimators

Shin, Dong-Wan (Department of Statistics, Ewha Womans University)
Lee, Oesook (Department of Statistics, Ewha Womans University)

Publication Information

Journal of the Korean Statistical Society / v.31, no.3, 2002 , pp. 301-314 More about this Journal

Abstract

For autoregressive moving average (ARMA) models, robust unit root tests are developed using M-estimators. The tests are parametric in the sense ARMA parameters are estimated jointly with unit roots. A Monte-Carlo experiment reveals superiority of the parametric tests over the semipararmetric tests of Lucas (1995a) in terms of both empirical sizes and powers.

Keywords

ARMA process; M-estimation; parametric tests; robust test;

Citations & Related Records

Reference

1	Maximum likelihood type setimation for nearly nonstationary autoregressive time series / [ Cox, D.D.;Llatas, I. ] / The Annals of Statistics DOI ScienceOn
2	Heteroskedasticity and autocorrelation consistent covariance matrix estimation / [ Andrews, D.W.K. ] / Econometrica DOI ScienceOn
3	Testing for unit roots in autoregressive moving average models: an instrumental Variable approach / [ Pantula, S.G.;Hall, A. ] / Journal of Econometics DOI ScienceOn
4	Unit roots test for time series data with a linear time trend / [ Said, E.S. ] / Journal of Econometics DOI ScienceOn
5	Robustness in time series and estimating ARMA models / [ Martin, R.D.;Yohai, V.J.;P.R. Krshnaiah(ed.0 ] / Handbook of Statistics DOI
6	Normal tests for unit root tests in autoregressiv processes with infinite variances or finite variances / [ Shin, D.W.;So, B.S. ] / Statistics & Probability Letters DOI ScienceOn
7	Tests for unit roots: A Monte Carlo investigation / [ Schwert, G.W. ] / Journal of Business & Economic Statistics DOI ScienceOn
8	M-estimation for regressions with intergrated regressors and ARMA errors / [ Shin, D.W.;Lee, O. ] / Technical Report
9	Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends / [ Ahn, S.K. ] / Boiometrika DOI ScienceOn
10	Time series regression with a unit root / [ Phillips, P.C.B. ] / Econometrica DOI ScienceOn
11	Asymptotic theory of LAD estimation in a unit root process with finite variance errors / [ Herce, M.A. ] / Econometric Theory DOI
12	Hypothesis testing in ARIMA(p,1,q) models / [ Said, E.S.;Dickey, D.A. ] / Journal of the American Statistical Association DOI ScienceOn
13	Unit root tests based on adaptive maximum likelihood estimation / [ Shin, D.W.;So, B.S. ] / Econometric Theory
14	Results on estimation and testing for unit root in the nonstationary autoregressive moving-average model / [ Yap, S.F.;Reinsel, G.C. ] / Journal of Time Series Analysis DOI
15	Modeling asset returns with alternative stable distributions / [ Mittnik, S.;Rachev, S.T. ] / Econometric Reviews DOI
16	Distribution of the estimators for autoregressive time series with a unit root / [ Dickey, D.A.;Fuller, W.A. ] / Journal of the American Statistical Association DOI ScienceOn
17	An Outlier robust unit root test with an application to the extneded Nelson-Plosser data / [ Lucas, A. ] / Journal of Econometics DOI
18	Unit root tests based on unconditional maximum likelihood estimation for the autoregressive moving average / [ Shin, D.W.;Fuller, W.A. ] / Journal of Time Series Analysis DOI ScienceOn
19	Unit root tests based on M-estimators / [ Lucas, A. ] / Econometric Theory DOI ScienceOn
20	The behavior of stock market prices / [ Fama, E.F. ] / Journal of Business DOI ScienceOn
21	Limit theory for autoregressiv-parameter estimates in an infinite-variance random walk / [ Knight, K. ] / The Canadian Journal of Statistics DOI