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ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT

Published online by Cambridge University Press:  01 June 1998

B.P.M. McCabe  and
S.J. Leybourne
B.P.M. McCabe
Affiliation:
University of British Columbia
S.J. Leybourne
Affiliation:
University of Nottingham
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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.

Type
Research Article
Information
Econometric Theory , Volume 14 , Issue 3 , June 1998 , pp. 326 - 338
Copyright
© 1998 Cambridge University Press

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