Estimation and testing for unit roots in a partially nonstationary vector autoregressive moving average model. From: Journal of the American Statistical Association | Date: March 1, 1995| Author: Yap, Sook Fwe; Reinsel, Gregory C. | COPYRIGHT 1995 American Statistical Association. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan.  All inquiries regarding rights should be directed to the Gale Group.Copyright information

The Gaussian estimation procedure is applied to nonstationary autoregressive moving average (ARMA) models. The technique generates asymptotic properties of ranked Gaussian estimators in unit root testing. A likelihood ratio statistic is derived for root number testing. Such statistic approximates a size approaching the nominal significance level and indicates the use of the likelihood ratio test as an effective tool for testing cointegration.

[Mathematical Expression Omitted]

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