Testing for invertibility in a MA(1) process

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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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In this paper we propase a test for detecting overdifferencing in a MA(1) process. Unlike the standard practice, we use invertibility as the null hypothesís to be tested. By so doing it is possible to use a standard likelihood ratio test with the standard X2 distribution. Simulation results indicate that its perfonnance is comparable to that of the best tests available in this literature.
En este trabajo proponemos un test para detectar sobre diferenciación en un proceso MA(1). A diferencia de la práctica habitual, nuestra hipótesis nula es la de invertibilidad. Esto permite plantear un contraste de razón de verosimilitud con una distribución X2 estándar bajo la hipótesis nula. Los resultados de simulación indican que su comportamiento es comparable al de los mejores contrastes disponibles en la literatura.
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