Testing for a Moving Average Unit Root

Abstract

Testing for a unit root in the moving average model is discussed. First, for the stationary MA(1) model, we suggest a score type test which is locally best invariant and unbiased. Performance of the test for finite samples is compared with the most powerful test. The asymptotic behavior of the test is also considered by computing the limiting power under a sequence of local alternatives. We then extend the model to an infinite order MA and suggest a test for this extended case.