A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION

John P. Miller and Paul Newbold

Journal of Time Series Analysis, 1995, vol. 16, issue 4, 403-413

Abstract: Abstract. The variance ratio test is often used as a check of the hypothesis that a time series is generated by a random walk. A natural extension of the test is developed to cover the case where the assumed model is ARIMA(p, 1, q), with unknown parameters. Small sample properties of the generalized test are investigated, and the test is applied to a frequently analysed data set on US quarterly real gross national product. In effect, we are testing for low frequency misspecification in assumed autoregressive moving‐average (ARMA) models for a differenced series.

Date: 1995
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https://doi.org/10.1111/j.1467-9892.1995.tb00242.x

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