The perils of inferring serial dependence from sample autocorrelations of moving average series
We demonstrate that oscillatory patterns in the higher lags of sample autocorrelations can arise whenever the true process is a finite order MA, and that this phenomenon exists even when the true autocorrelations are zero. Therefore the visually apparent structure is a statistical artifact, and the analyst should not attempt to model it directly. Instead one should utilize Box–Jenkins methodology, whereby appropriate significance levels for testing zero correlation can be obtained by fitting successively higher order MA models.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 82 (2012)
Issue (Month): 9 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1632-1636. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.