Testing for Noninvertible Models with Applications
Bibliographic Data
| ID | 19419331 |
|---|---|
| Authors | Ruey S Tsay (0000-0002-4949-4035, corresponding author) |
| Year | 1993 |
| Volume | 11 |
| Issue | 2 |
| Pages | 225 |
| Publication date | 1993-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | JSTOR (PUBLISHER) |
| DOI | 10.2307/1391374 |
| OpenAlex | W1970377052 |
| Language | EN |
| Citations received | 1 |
| References cited | 10 |
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
Time series analysis
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Trends and random walks in macroeconmic time series
Time Series Regression with a Unit Root
Testing for unit roots in autoregressive-moving average models of unknown order
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Determining the Order of Differencing in Autoregressive Processes
A Note on Overdifferencing and the Equivalence of Seasonal Time Series Models With Monthly Means and Models With (0, 1, 1) 12 Seasonal Parts When ⊖ = 1
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,04 |
| Citation span | 2001 - 2001 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |