Estimation of a non-invertible moving average process: the case of overdifferencing

DOI10.1016/0304-4076(77)90015-XzbMath0411.62061MaRDI QIDQ1259392

Charles I. Plosser, G. William Schwert

Publication date: 1977

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

testsMonte Carlo techniquesnon-invertible moving average processoverdifferencingregression parameter estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items

RECOGNIZING OVERDIFFERENCED TIME SERIES ⋮ New exact ML estimation and inference for a Gaussian \(MA(1)\) process ⋮ A differencing test ⋮ SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS ⋮ TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY ⋮ Problems with the estimation of moving average processes ⋮ ARMA AND ARIMA APPROACHES TO THE UNIT ROOT ANALYSIS OF MACRO ECONOMIC VARIABLES ⋮ An Examination of the Slutsky Effect in Interpreting Arima Models ⋮ Approximating posterior probabilities in a linear model with possibly noninvertible moving average errors ⋮ Testing a Unit Root Based on Aggregate Time Series ⋮ Extensions of saddlepoint-based bootstrap inference ⋮ Estimation of a non-invertible moving average process: the case of overdifferencing ⋮ The analysis of seasonal economic models

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