Economics at your fingertips  

The variance ratio and trend stationary model as extensions of a constrained autoregressive model

Shlomo Zilca
Additional contact information
Shlomo Zilca: Faculty of Management, Tel Aviv University, Tel Aviv, Israel, Postal: Faculty of Management, Tel Aviv University, Tel Aviv, Israel

Journal of Forecasting, 2010, vol. 29, issue 5, 467-475

Abstract: This paper shows that a constrained autoregressive model that assigns linearly decreasing weights to past observations of a stationary time series has important links to the variance ratio methodology and trend stationary model. It is demonstrated that the proposed autoregressive model is asymptotically related to the variance ratio through the weighting schedules that these two tools use. It is also demonstrated that under a trend stationary time series process the proposed autoregressive model approaches a trend stationary model when the memory of the autoregressive model is increased. These links create a theoretical foundation for tests that confront the random walk model simultaneously against a trend stationary and a variety of short- and long-memory autoregressive alternatives. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) Link to full text; subscription required (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Series data maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2017-09-29
Handle: RePEc:jof:jforec:v:29:y:2010:i:5:p:467-475