Arbeitspapier

A smoothing test under first-order autoregressive processes and a first-order moving-average correction

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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.

Sprache
Englisch

Erschienen in
Series: EERI Research Paper Series ; No. 12/2016

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Hypothesis Testing: General
Estimation: General
Thema
Smoothing Tests under First Order Autoregressive Processes
Running Averages
Negative Unit Roots
Moving Average Autocorrelation Correction in Linear Models

Ereignis
Geistige Schöpfung
(wer)
Martins, Ana Paula
Ereignis
Veröffentlichung
(wer)
Economics and Econometrics Research Institute (EERI)
(wo)
Brussels
(wann)
2016

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Martins, Ana Paula
  • Economics and Econometrics Research Institute (EERI)

Entstanden

  • 2016

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