Shively, Philip - In: Journal of Applied Statistics 31 (2004) 7, pp. 785-798
A unit root has important long-run implications for many time series in economics and finance. This paper develops a unit-root test of an ARIMA(p-1, 1, q) with drift null process against a trend-stationary ARMA(p, q) alternative process, where the order of the time series is assumed known...