Testing for Noninvertible Models with Applications

This paper is concerned with testing for noninvertible time-series models. For a stationary but noninvertible autoregressive moving average model, the author constructs a derived process that is nonstationary but invertible with a nonstationary factor identical to the noninvertible factor of the original time series. The author then proposes a test procedure for testing noninvertibility using various unit-root test statistics available i n the literature. The limiting distributions of the test statistics employed depend on the mean as well as the initial innovations of th e original series

Econometrics · Economics · Mathematical economics · Complex Systems and Time Series Analysis · Computer Science · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact

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