A Significance Test for Classifying ARMA Models

Given that the Euclidean distance between the parameter estimates of autoregressive expansions of autoregressive moving average models can be used to classify stationary time series into groups, a test is proposed to determine whether or not two stationary time series in a particular group have significantly different generating processes. The results of computer simulations are given.


Issue Date:
Sep 01 1994
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267751
Language:
English
Total Pages:
26
Series Statement:
Working Paper No. 18/94




 Record created 2018-02-02, last modified 2018-02-03

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