Testing for invertibility in univariate ARIMA processes
ISSN: 2341-2356
Année de publication: 1998
Número: 3
Pages: 1-7
Type: Working Paper
D'autres publications dans: Documentos de Trabajo (ICAE)
Résumé
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.