On the Noninvertible Moving Average Time Series with Infinite Variance

Ngai Hang Chan

Econometric Theory, 1993, vol. 9, issue 04, pages 680-685

Abstract: The limiting distribution of the least squares estimate of the derived process of a noninvertible and nearly noninvertible moving average model with infinite variance innovations is established as a functional of a L . This result enables one to perform asymptotic testing for the presence of a unit root for a noninvertible moving average model through the constructed derived process under the null hypothesis. It provides not only a parallel analog of its autoregressive counterparts, but also a useful alternative to determine for time series that exhibit heavy-tailed phenomena.

Date: 1993

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