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Implementing unit roost tests in ARMA models of unknow order

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Abstract

This paper compares the performance of classical and recent unit root tests based on different estimation procedures, including fitting ARMA models of unknown orders. The article also introduces an estimator of the spectral density function that is based on the estimation of an ARMA model with data previously detrended by GLS. The Monte Carlo experiment shows that tests improve their performance if an ARMA model is estimated, instead of an autoregressive approximation. The best results are obtained by tests based on the estimation of the spectral density function.

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  1. Departmento de Estadística y Econometría, Avd. Universidad 30, 28911, Leganés, Madrid, (Spain)

    Ismael Sánchez

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  1. Ismael Sánchez
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Sánchez, I. Implementing unit roost tests in ARMA models of unknow order. Statistical Papers 45, 249–266 (2004). https://doi.org/10.1007/BF02777226

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  • DOI: https://doi.org/10.1007/BF02777226

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