Testing for invertibility in univariate ARIMA processes

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

ISSN: 2341-2356

Argitalpen urtea: 1998

Zenbakia: 3

Orrialdeak: 1-7

Mota: Laneko dokumentua

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Beste argitalpen batzuk: Documentos de Trabajo (ICAE)

Laburpena

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.

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