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- W2045007776 abstract "A unit root has important long-run implications for many time series in economics and finance. This paper develops a unit-root test of an ARIMA(p−1, 1, q) with drift null process against a trend-stationary ARMA(p, q) alternative process, where the order of the time series is assumed known through previous statistical testing or relevant theory. This test uses a point-optimal test statistic, but it estimates the null and alternative variance-covariance matrices that are used in the test statistic. Consequently, this test approximates a point-optimal test. Simulations show that its small-sample size is close to the nominal test level for a variety of unit-root processes, that it has a robust power curve against a variety of stationary alternatives, that its combined small-sample size and power properties are highly competitive with previous unit-root tests, and that it is robust to conditional heteroskedasticity. An application to post-Second World War real per capita gross domestic product is provided." @default.
- W2045007776 created "2016-06-24" @default.
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- W2045007776 date "2004-08-01" @default.
- W2045007776 modified "2023-09-26" @default.
- W2045007776 title "Testing for a Unit Root in ARIMA Processes" @default.
- W2045007776 doi "https://doi.org/10.1080/0266476042000214547" @default.
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