A Significance Test for Classifying ARMA Models

Elizabeth Ann Maharaj

No 267751, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Given that the Euclidean distance between the parameter estimates of autoregressive expansions of autoregressive moving average models can be used to classify stationary time series into groups, a test is proposed to determine whether or not two stationary time series in a particular group have significantly different generating processes. The results of computer simulations are given.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 26
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267751

DOI: 10.22004/ag.econ.267751

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