Unit root testing in ARMA models : a likelihood ratio approach
In this thesis I propose a Likelihood Ratio test to test for a unit root in ARMA(l, 1) models. In Chapter 1 I present an introduction to the unit root testing literature and motivate the ARMA(l, 1) structure. In Chapter :2 I detail, from the estimation stage, how to obtain the test statistic and pro...
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University of Essex
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.635915 |