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| Volume 15, No. 2, December
2016 |
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A Modified ADF Test for Geometric ARMA Processes |
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Fathali Firoozi |
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Department of Economics, University of Texas at San Antonio, U.S.A.
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Donald Lien
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Department of Economics, University of Texas at San Antonio, U.S.A. |
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| Abstract |
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This study first shows that geometric processes
arise naturally and then proposes a modification to
the standard augmented Dickey-Fuller (ADF) equation
for testing unit root non-stationarity in geometric
ARMA
 processes with
 . The proposed test equation removes the order truncation bias
that is inherent in the standard ADF test equation
for such processes.
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Key words:
autoregressive moving average processes; order approximation;
infinite order
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JEL
classification:
C12; C22 |
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