Título:
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Testing for invertibility in a MA(1) process
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Autores:
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Flores de Frutos, Rafael ;
Jerez Méndez, Miguel
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1997
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Procesos estocásticos
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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.
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En línea:
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https://eprints.ucm.es/id/eprint/28401/1/9719.pdf
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