Testing for invertibility in univariate ARIMA processes

  1. Flores de Frutos, Rafael
  2. Jerez Méndez, Miguel
Revista:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Any de publicació: 1998

Número: 3

Pàgines: 1-7

Tipus: Document de treball

DIALNET GOOGLE SCHOLAR

Altres publicacions en: Documentos de Trabajo (ICAE)

Resum

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.

Fuente de los datos: Dialnet