131
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Developments in Maximum Likelihood Unit Root Tests

, &
Pages 1088-1103 | Received 19 Dec 2010, Accepted 28 Dec 2011, Published online: 02 Jan 2013

References

  • Andrews , D. F. and Stafford , J. E. 2000 . Symbolic Computation for Statistical Inference , Oxford : Oxford University Press .
  • Billingsley , P. 1999 . Convergence of Probability Measures , New York : Wiley .
  • Brockwell , P. J. and Davis , R. A. 1987 . Time Series: Theory and Methods , New York : Springer-Verlag .
  • Dent , W. and Min , A. S. 1978 . A Monte Carlo study of autoregressive integrated moving average processes . Journal of Econometrics , 7 : 23 – 55 .
  • Dickey , A. D. and 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 .
  • Enders , W. 2010 . Applied Econometric Time Series , 3rd ed. , New York : Wiley .
  • Fuller , W. A. 1996 . Introduction to Statistical Time Series , New York : Wiley .
  • Gonzalez-Farias , G. M. and Dickey , D. A. 1999 . Unit root test: An unconditional maximum likelihood approach . Boletin de la Sociedad Matematica Mexicana , 5 : 199 – 221 .
  • Hasza , D. P. 1980 . A note on the maximum likelihood estimation for the first-order autoregressive processes . Communications in Statistics: Theory and Methods , 13 : 1411 – 1415 .
  • Iacus , S. M. 2008 . Simulation and Inference for Stochastic Differential Equations: With R Examples , New York : Springer Science+Business Media, LLC .
  • MacKinnon , J. G. 2000 . “ Computing Numerical Distribution Functions in Econometrics ” . 455 – 470 . Amsterdam : Luwer . In: Pollard, A., Mewhort, D., and Weaver, D. (eds.). High Performance Computing Systems. Ch 45, pp.
  • McLeod , A. I. , Yu , H. and Zhang , Y. 2011 . mleur: Maximum likelihood unit root test R package version 1.0-4. Available at http://CRAN.R-project.org/package=mleur
  • McLeod , A. I. and Zhang , Y. 2008 . Faster ARMA maximum likelihood estimation . Computational Statistics and Data Analysis , 52 ( 4 ) : 2166 – 2176 .
  • Minozzo , M. and Azzalini , A. 1993 . On the unimodality of the exact likelihood function for normal ar(2) series . Journal of Time Series Analysis , 14 : 497 – 510 .
  • Pantula , S. G. , Gonzalez-Farias , G. and Fuller , W. A. 1994 . A comparison of unit-root test criteria . Journal of Business & Economic Statistics , 12 ( 4 ) : 449 – 459 .
  • Patterson , K. 2010 . A Primer for Unit Root Testing , London : Palgrave .
  • Pfaff , B. 2006 . Analysis of Integrated and Cointegrated Time Series with R , New York : Springer .
  • Pfaff , B. 2010 . urca: Unit root and cointegration tests for time series data R package version 1.2-5. Available at http://cran.r-project.org/web/packages/urca/index.html
  • Shin , D. W. and Fuller , W. 1998 . Unit root tests based on unconditional maximum likelihood estimation for the autoregressive moving average . Journal of Time Series Analysis , 19 ( 5 ) : 591 – 599 .
  • Smith , B. and Field , C. 2001 . Symbolic cumulant calculations for frequency domain time series . Statistics and Computing , 11 : 75 – 82 .
  • White , J. S. 1961 . Asymptotic expansions for the mean and variance of the serial correlation coefficient . Biometrika , 48 : 85 – 94 .
  • Wolfram , S. 1999 . The Mathematica Book , Cambridge : Cambridge University Press .
  • Zhang , Y. and McLeod , A. I. 2006 . Computer algebra derivation of the bias of linear estimators of autoregressive models . Journal of Time Series Analysis , 27 : 157 – 165 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.