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.
Keywords
Autoregressive modelMathematicsUnit rootSTAR modelSeries (stratigraphy)Autoregressive integrated moving averageUnit root testMoving-average modelTest statisticStatisticsMoving averageAutoregressive–moving-average modelSETARStatisticEconometricsAugmented Dickey–Fuller testTime seriesApplied mathematicsStatistical hypothesis testingCointegration
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Publication Info
- Year
- 1984
- Type
- article
- Volume
- 71
- Issue
- 3
- Pages
- 599-607
- Citations
- 3145
- Access
- Closed
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Cite This
Saïd E. Saïd,
David A. Dickey
(1984).
Testing for unit roots in autoregressive-moving average models of unknown order.
Biometrika
, 71
(3)
, 599-607.
https://doi.org/10.1093/biomet/71.3.599
Identifiers
- DOI
- 10.1093/biomet/71.3.599