Testing for invertibility in univariate ARIMA processes

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

ISSN: 2341-2356

Datum der Publikation: 1998

Nummer: 3

Seiten: 1-7

Art: Arbeitsdokument

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Andere Publikationen in: Documentos de Trabajo (ICAE)

Zusammenfassung

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