Testing for invertibility in a MA(1) process
| dc.contributor.author | Flores de Frutos, Rafael | |
| dc.contributor.author | Jerez Méndez, Miguel | |
| dc.date.accessioned | 2023-06-21T01:37:29Z | |
| dc.date.available | 2023-06-21T01:37:29Z | |
| dc.date.issued | 1997 | |
| dc.description.abstract | 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. | |
| dc.description.abstract | 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. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/28401 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64187 | |
| dc.issue.number | 19 | |
| dc.language.iso | eng | |
| dc.page.total | 8 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | Nonstationarity | |
| dc.subject.keyword | Overdifferencing | |
| dc.subject.keyword | Time series | |
| dc.subject.keyword | Unit-root test. | |
| dc.subject.ucm | Procesos estocásticos | |
| dc.subject.unesco | 1208.08 Procesos Estocásticos | |
| dc.title | Testing for invertibility in a MA(1) process | |
| dc.type | technical report | |
| dc.volume.number | 1997 | |
| dcterms.references | Arellano, C. and S.G. Pantula, 1990, Trend Stationarity Versus Difference Stationarity, in: Proceedings if the Business and Ecollomic Statistics Section (American Statictical Association) 188-196. Christiano, L.J. 1987, Cagan's Model of Hyperinflation Under Rational Expectations, Inlernational Economic Review 28,33-47. Flores, R and A. Novales, 1997, A General Test for Univariate Seasonality, Journal of Time Series Analysis, 18, 1, 29-48. Lütkepohl, H. 1993, Introduction to Multiple Time Series Analysis , Springer-Verlag, Berlin. Plosser, C.I and G.W. Schwert, 1977, Estimation of a Non-invertible Moving Average Process: The Case of Overdifferencing, Journal of Econometrics 6, 199-224. Saikkonen, P. and R. Luukkonen, 1993, Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models, Journal of the American Statistical Association, 88, 422, 596-601. Tsay, R.S. 1993, Testing for Nonivertible Models With Applications, 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. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | fdb804b2-ac97-4a0a-bd74-9414c4b86042 | |
| relation.isAuthorOfPublication.latestForDiscovery | fdb804b2-ac97-4a0a-bd74-9414c4b86042 |
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