A Smoothing Test under First-Order Autoregressive Processes and a First-Order Moving-Average Correction

Ana Paula Martins

Journal of Economics and Econometrics, 2016, vol. 59, issue 2, 77-91

Abstract: This paper focuses on two applications of time series methods. The first proposes a simple transformation of the unit root form of stationary testing to infer about the validity of smoothing by second-order running averages of a series, or of the variables in a linear model (here opposing co-integration testing). The second one advances a simple iterative algorithm to correct for MA(1) autocorrelation of the residuals of the general linear model, not requiring the estimation of the error process parameter.

Keywords: Smoothing Tests under First Order Autoregressive Processes; Running Averages; Negative Unit Roots; Moving Average Autocorrelation Correction in Linear Models. (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Date: 2016
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Working Paper: A Smoothing Test under First-Order Autoregressive Processes and a First-Order Moving-Average Correction (2016)
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