In this work we use a measure of predictability of a time series following a stationary ARMA process to develop a test of equal predictability of two or more time series. The test is derived by a set of propositions which links the structure of the AR and MA coefficients to the predictability measure. A particular case of this general approach is constituted by time series having aWold decomposition with weights having the same sign; in this framework the equal predictability is equivalent to parallelism among ARMA models and the null hypothesis of equal predictability is simply a set of linear restrictions. The ARMA representation of the GARCH models presents non-negative weights, so that this test can be extended to verify the equal predictability of squared time series following GARCH structures.
Testing for Equal Predictability of Stationary ARMA Processes / Otranto, Edoardo; U., Triacca. - In: JOURNAL OF APPLIED STATISTICS. - ISSN 0266-4763. - 34:(2007), pp. 1091-1108.
Testing for Equal Predictability of Stationary ARMA Processes
OTRANTO, Edoardo;
2007-01-01
Abstract
In this work we use a measure of predictability of a time series following a stationary ARMA process to develop a test of equal predictability of two or more time series. The test is derived by a set of propositions which links the structure of the AR and MA coefficients to the predictability measure. A particular case of this general approach is constituted by time series having aWold decomposition with weights having the same sign; in this framework the equal predictability is equivalent to parallelism among ARMA models and the null hypothesis of equal predictability is simply a set of linear restrictions. The ARMA representation of the GARCH models presents non-negative weights, so that this test can be extended to verify the equal predictability of squared time series following GARCH structures.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.