Monte-Carlo simulations

Critical values for testing a unit root in finite samples from the MA(1), Applied Economics Letters, 14: 191-195 (JEL, ISI Listed, συντελεστής βαρύτητας: 0.295 και 5-ετίας 0.302) (2007, in common with I. Kevork)

In this paper, using a certain simulation strategy, for the exact maximum likelihood estimator of θ from the MA(1), we estimate appropriate percentiles, together with their standard errors, offering a new set of critical values for testing in finite samples Ho: θ=-1 against H1: θ>-1. In this way, appropriate regions for rejecting the null or being in uncertainty are defined, regardless of the values of MA(1) parameters.