Publication:
Testing for invertibility in univariate ARIMA processes

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1998
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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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.
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.
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Análisis matemático , Procesos estocásticos
Unesco subjects
1202 Análisis y Análisis Funcional , 1208.08 Procesos Estocásticos
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Citation
Arellano, C. and S.G. Pantula, 1990. Trend Stationarity Versus Difference Stationarity, in: Proceedings of the Business and Economic Statistics Section (American Statistical Association) 188-196. Lütkepohl, H. 1993, Introduction to Multiple Time Series Analysis. Springer-Verlag, Berlin. Saikkonen, P. and R. Luukkonen, 1993, Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models, Journal of the American Statictical Association, 88, 422, 596-601. Tsay, R.S. 1993, Testing for Nornvertible Models With Applicatioos. Journal of Business and Economic Statistics 11, 2, 225-233. Tanaka, K. 1990, Testing for a Moving Average Unit Root, Econometric Theory, 6. 433-444. Tanaka, K. 1996, Time Series Analysis: Nonstationary and Noninvertible Distribution Theory. John Wiley & Sons, New York.
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https://hdl.handle.net/20.500.14352/64204
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