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Some Simple Tests Of The Moving‐Average Unit Root Hypothesis

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  • Jorg Breitung

Abstract

. This paper deals with three test statistics for a moving‐average (MA) unit root. The spectral test is based on the estimate of the spectral density at frequency zero. The variance difference statistic compares the sample variance of the integrated series with the estimated variance imposing the MA unit root constraint. Furthermore, Tanaka's score type test statistic is modified to improve the power in higher order models. The asymptotic power of the tests is considered and Monte Carlo experiments are performed to investigate the small sample properties of the tests. Finally, the tests are applied to a number of economic time series to determine the degree of integration.

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  • Jorg Breitung, 1994. "Some Simple Tests Of The Moving‐Average Unit Root Hypothesis," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(4), pages 351-370, July.
    • Handle: RePEc:bla:jtsera:v:15:y:1994:i:4:p:351-370
    DOI: 10.1111/j.1467-9892.1994.tb00199.x
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    1. Li Shang & Xiaoling Zhang & Decai Tang & Xiaoxue Ma & Chunfeng Lu, 2023. "The Impact of Housing Support Expenditure on Urban Residents’ Consumption—Evidence from China," Sustainability, MDPI, vol. 15(12), pages 1-24, June.

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