Testing for invertibility in univariate ARIMA processes
ISSN: 2341-2356
Year of publication: 1998
Issue: 3
Pages: 1-7
Type: Working paper
More publications in: Documentos de Trabajo (ICAE)
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.