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An unconditional maximum likelihood test for a unit root

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGonzález-Farias, Graciela
dc.contributor.authorDickey, David A.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.date.accessioned2009-02-18T10:58:48Z
dc.date.available2009-02-18T10:58:48Z
dc.date.issued1993-04
dc.description.abstractWe investigate a test for unit roots in autoregressive time series based on maximization of the unconditional likelihood. This is the likelihood function appropriate for stationary time series. While this function is the true likelihood only under the stationary alternative, it can nevertheless be maximized for any data including data from a unit root process. It thus gives a way to test for unit roots, provided percentill~s can be calculated. For models with estimated means, the power of the new test is better than that of some currently popular tests.es
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/3704
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometricses
dc.relation.ispartofseries1993-09-07es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherTime serieses
dc.subject.otherNonstationaryes
dc.titleAn unconditional maximum likelihood test for a unit rootes
dc.typeworking paper*
dspace.entity.typePublication
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