On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components

Journal of Econometrics

Volumn 93, Issue 1, 1999, Pages 25-47

  Galbraith, John W ^a   Zinde Walsh, Victoria ^a  

^a MCGILL UNIVERSITY   (Canada)

Author keywords

Augmented dickey fuller test; Moving average process; Unit root

Indexed keywords

EID: 0039268529     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(98)00097-9     Document Type: Article

References (23)

1. Agiakloglou, C., Newbold, P., 1992. Empirical evidence on Dickey-Fuller-type tests. Journal of Time Series Analysis 14, 471-483.
2. Barthélémy, F., Lubrano, M., 1996. Properties of the ADF unit root test for models with trend and cycles. Working paper, GREQAM, Marseille.
3. Berk, K.N., 1974. Consistent autoregressive spectral estimates. Annals of Statistics 2, 489-502.
4. Box, G.E.P., Jenkins, G.M., 1976. Time Series Analysis: Forecasting and Control, (rev. ed.), Holden-Day, San Francisco.
5. Davidson, R., MacKinnon, J.G., 1993. Estimation and Inference in Econometrics. Oxford University Press, New York.
6. DeJong, D.N., Nankervis, J.C., Savin, N.E., Whiteman, C.H., 1992. The power problems of unit root tests in time series with autoregressive errors. Journal of Econometrics 53, 323-343.
7. Dickey, D.A., Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427-431.
8. Elliot, G., Rothenberg, T.J., Stock, J.H., 1996. Efficient tests for an autoregressive unit root. Econometrica 64, 813-836.
9. Fuller, W.A., 1976. Introduction to Statistical Time Series. Wiley, New York.
10. Galbraith, J.W., Zinde-Walsh, V., 1992. The GLS transformation matrix and a semi-recursive estimator for the linear regression model with ARMA errors. Econometric Theory 8, 95-111.
11. Galbraith, J.W., Zinde-Walsh, V., 1994. A simple, non-iterative estimator for moving-average models. Biometrika 81, 143-155.
12. Gonzalo, J., Pitarakis, J.-Y., 1998. On the exact moments of non-standard asymptotic distributions in non-stationary autoregressions with dependent errors. International Economic Review 39, 71-88.
13. Hall, A., 1989. Testing for a unit root in the presence of moving-average errors. Biometrika 76, 49-56.
14. Hall, A., 1994. Testing for a unit root in time series with pretest data-based model selection. Journal of Business and Economic Statistics 12, 461-470.
15. Ng, S., Perron, P., 1995. Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag. Journal of the American Statistical Association 90, 253-268.
16. Ng S., Perron, P., 1996. Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Working paper, CRDE, Université de Montréal.
17. Phillips, P.C.B., 1987. Time series regression with a unit root. Econometrica 55, 277-301.
18. Phillips, P.C.B., Perron, P., 1988. Testing for a unit root in time series regression. Biometrika 75, 335-346.
19. Said, S.E., Dickey, D.A., 1984. Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika 71, 599-607.
20. Said, S.E., Dickey, D.A., 1985. Hypothesis testing in ARIMA(p, 1, q) models. Journal of the Americal Statistical Association 80, 369-374.
21. Schwert, G., 1989. Testing for unit roots: a Monte Carlo investigation. Journal of Business and Economic Statistics 7, 147-158.
22. Zinde-Walsh, V., 1988. Some exact formulae for autoregressive moving average processes. Econometric Theory 14, 384-402.
23. Zinde-Walsh, V., Galbraith, J.W., 1991. Estimation of a linear regression model with stationary ARMA(p, q) errors. Journal of Econometrics 47, 333-357.