Testing for invertibility in univariate ARIMA processes
| dc.contributor.author | Flores de Frutos, Rafael | |
| dc.contributor.author | Jerez Méndez, Miguel | |
| dc.date.accessioned | 2023-06-21T01:37:51Z | |
| dc.date.available | 2023-06-21T01:37:51Z | |
| dc.date.issued | 1998 | |
| dc.description.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. | |
| dc.description.abstract | 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. | |
| 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/28792 | |
| dc.identifier.relatedurl | http://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64204 | |
| dc.issue.number | 03 | |
| dc.language.iso | eng | |
| dc.page.total | 18 | |
| 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 | Invertibility | |
| dc.subject.keyword | Overdifferencing | |
| dc.subject.keyword | Unit Root Tests. | |
| dc.subject.ucm | Análisis matemático | |
| dc.subject.ucm | Procesos estocásticos | |
| dc.subject.unesco | 1202 Análisis y Análisis Funcional | |
| dc.subject.unesco | 1208.08 Procesos Estocásticos | |
| dc.title | Testing for invertibility in univariate ARIMA processes | |
| dc.type | technical report | |
| dc.volume.number | 1998 | |
| dcterms.references | 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. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | fdb804b2-ac97-4a0a-bd74-9414c4b86042 | |
| relation.isAuthorOfPublication.latestForDiscovery | fdb804b2-ac97-4a0a-bd74-9414c4b86042 |
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