Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order
提出一种无需事先指定自回归和移动平均阶数的单位根检验方法，基于自回归近似，检验统计量可直接从回归软件获得，并给出了极限分布百分位数表。
Recently, methods for detecting unit roots in autoregressive and autoregressive-moving average time series have been proposed. The presence of a unit root indicates that the time series is not stationary but that differencing will reduce it to stationarity. The tests proposed to date require specification of the number of autoregressive and moving average coefficients in the model. In this paper we develop a test for unit roots which is based on an approximation of an autoregressive-moving average model by an autoregression. The test statistic is standard output from most regression programs and has a limit distribution whose percentiles have been tabulated. An example is provided.