Arbeitspapier

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

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.

Language: Englisch

Bibliographic citation: Series: EERI Research Paper Series ; No. 12/2016

Classification: Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Hypothesis Testing: General
Estimation: General

Subject: Smoothing Tests under First Order Autoregressive Processes
Running Averages
Negative Unit Roots
Moving Average Autocorrelation Correction in Linear Models

Event: Geistige Schöpfung

(who): Martins, Ana Paula

Event: Veröffentlichung

(who): Economics and Econometrics Research Institute (EERI)

(where): Brussels

(when): 2016

Handle: http://hdl.handle.net/10419/179391

Last update: 10.03.2025, 10:44 AM UTC

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Arbeitspapier

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

Time of origin

2016

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

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Other Objects (12)

First-order logic

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Kinetics of first-order phase transitions

Inexact first-order primal–dual algorithms

First-order logic

First-order logic

First-order dynamic logic

Time-varying first-order autoregressive processes with irregular innovations

Scalable online first-order monitoring

First-order and second-order ambiguity aversion

Estimation of possibly non-stationary first-order auto-regressive processes

Decidable fragments of first-order logic and of first-order linear arithmetic with uninterpreted predicates

HYPER-REF: A General Model of Reference for First-Order Logic and First-Order Arithmetic

First-order theorem proving modulo equations

Kinetics of first-order phase transitions

Inexact first-order primal–dual algorithms

First-order logic

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First-order dynamic logic

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