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Testing for invertibility in univariate ARIMA processes

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Flores de Frutos, Rafael and Jerez Méndez, Miguel (1998) Testing for invertibility in univariate ARIMA processes. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 03, 1998, ]

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Official URL: http://eprints.ucm.es/28792/


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Abstract

We propose a test statistic for detecting whether a differenced time series follows an invertible ARIMA process. The test follows a X2-1 distribution, it is easy to compute and shows an excellent performance when compared with standard optimal tests for overdifferencing.

Resumen (otros idiomas)

En este trabajo se propone un contraste estadístico para detectar invertibilidad en un proceso ARIMA. El estadístico tiene una distribución estandar X2-1 ,es fácil de calcular y presenta un excelente comportamiento al compararlo con los contrastes óptimos estandar de sobrediferenciación.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Invertibility; Overdifferencing; Unit Root Tests.
Subjects:Sciences > Mathematics > Mathematical analysis
Sciences > Mathematics > Stochastic processes
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:1998
Number:03
ID Code:28792
Deposited On:25 Feb 2015 15:16
Last Modified:25 Feb 2015 15:16

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