Testing for Noninvertible Models with Applications

Ruey S Tsay

Journal of Business & Economic Statistics, 1993, vol. 11, issue 2, 225-33

Abstract: 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.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:11:y:1993:i:2:p:225-33

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